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The empirical distribution function as a tail estimator |
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| Authors: | JHJ Einmahl |
| Institution: | Department of Medical Informatics and Statistics P.O. Box 616 NL–6200 MD Maastricht The Netherlands |
| Abstract: | It is shown that the empirical distribution function performs well in tail estimation. Consistency as well as the relative error are considered. The results hold true without any condition on the theoretical distribution function. |
| Keywords: | consistency relative error |