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Dear AllStat-ers,
I have a question (well, I have number of questions, but it will take
me some time to write them in English :-)
Let (X1, X2, ..., Xn) be a sample of iid (independent identically
distributed) nonnegative random variables.
Let F(x) be cdf (cumulative distribution function) of those random
variables.
It is known that F(x)=c*x^a+o(x^a) when x tends to infinity.
It is also known that value of "a" belongs to (1,2].
1. How can I estimate "a" ?
2. How robust is that estimate ?
Regards, (Наилучшие пожелания)
Ilia Chipitsine (Илья Шипицин)
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