On tail parameter estimation in certain point process models

Let μ(ds, dx) denote Poisson random measure with intensity dsG(dx) on (0, ∞) × (0, ∞), for a measure G(dx) with tails varying regularly at ∞. We deal with estimation of index of regular variation α and weight parameter ξ if the point process is observed in certain windows K_n = 0, T_n] × Y_n, ∞), where Y_n → ∞ as n → ∞. In particular, we look at asymptotic behaviour of the Hill estimator for α. In certain submodels, better estimators are available; they converge at higher speed and have a strong optimality property. This is deduced from the parametric case G(dx) = ξαx^?α?1 dx via a neighbourhood argument in terms of Hellinger distances.