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pk=kminν−1(kmink)−ν
To estimate
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For ~method~of~moments\\ ~E[x]=\frac{\nu-1}{\nu-2}\\ E[x^2]=\frac{\nu-1}{\nu-3}x_{min}^2\\ \hat{x}_{min}=\frac{\sum x_i^2(\nu-3)}{\sum x_i(\nu-2)}\\ \hat{v}_{MME}=\frac{-2(\sum x_i)^2+2n\sum x_i^2 \pm \sqrt{-n(\sum x_i)^2 \sum x_i^2+n^2 (\sum x_i^2)^2}}{-(\sum x_i)^2+n\sum x_i^2}\\ For~maximizing ~log-likelihood\\ p(x)=\prod_{i=1}^n\frac{\nu-1}{x_{min}}(\frac{x}{x_{min}})^{-\nu}\\ logp(x)=nlog(\nu-1)-nlogx_{min}-\nu\sum_{i=1}^\infty log\frac{x_i}{x_{min}}\\ \frac{\partial logp(x)}{\partial x_{min}}=\frac{-n}{x_{min}}+\frac{\nu}{x_{min}}\sum_{i=1}^\infty \frac{1}{x_i}=0\\ \frac{\partial logp(x)}{\partial \nu}=\frac{n}{\nu-1}-\sum_{i=1}^\infty log\frac{x_i}{x_{min}}\\ \hat{\nu}_{MLE}=1+n[\sum_{i=1}^nln\frac{x_i}{x_{min}}]^{-1}\\
For method of moments E[x]=ν−2ν−1E[x2]=ν−3ν−1xmin2x^min=∑xi(ν−2)∑xi2(ν−3)v^MME=−(∑xi)2+n∑xi2−2(∑xi)2+2n∑xi2±−n(∑xi)2∑xi2+n2(∑xi2)2For maximizing log−likelihoodp(x)=i=1∏nxminν−1(xminx)−νlogp(x)=nlog(ν−1)−nlogxmin−νi=1∑∞logxminxi∂xmin∂logp(x)=xmin−n+xminνi=1∑∞xi1=0∂ν∂logp(x)=ν−1n−i=1∑∞logxminxiν^MLE=1+n[i=1∑nlnxminxi]−1
To find the statistical properties of these estimator including unbiasedness and consistency
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E[\hat{\nu}_{MME}]=\frac{-2(\frac{n}{\nu-1})^2+2n\frac{n^2}{(\nu-1)(\nu-2)}\pm \sqrt{-n(\frac{n}{\nu-1})^2\frac{n^2}{(\nu-1)(\nu-2)}+n^2(\frac{n^2}{(\nu-1)(\nu-2)})^2}}{-(\frac{n}{\nu-1})^2+n\frac{n^2}{(\nu-1)(\nu-2)}}\\ when~n \rightarrow \infin , E[\hat{\nu}_{MME}]\rightarrow 3~or~1\\ E[\hat{\nu}_{MLE}]=1+nE[\sum_{i=1}^nln\frac{x_i}{x_{min}}]^{-1}]\\ =1+E[\frac{n}{z}]\\ =1+\frac{n(\nu-1)}{n-1}\\ =\frac{n\nu}{n-1}-\frac{1}{n-1}\\ when~n \rightarrow \infin , E[\hat{\nu}_{MLE}]\rightarrow \nu\\
E[ν^MME]=−(ν−1n)2+n(ν−1)(ν−2)n2−2(ν−1n)2+2n(ν−1)(ν−2)n2±−n(ν−1n)2(ν−1)(ν−2)n2+n2((ν−1)(ν−2)n2)2when n→∞,E[ν^MME]→3 or 1E[ν^MLE]=1+nE[i=1∑nlnxminxi]−1]=1+E[zn]=1+n−1n(ν−1)=n−1nν−n−11when n→∞,E[ν^MLE]→ν
So MME estimator and MLE estimator are both biased estimator and MLE estimator is a consisent estimator while MME estimator is not.
For joint PDF
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f(x;\nu)=(\nu-1)^n x_{min}^{-n(\nu-1)}\prod_{i=1}^nx_i ^{-\nu}1_{x_i\geq x_{min}}\\ =c(\nu)h(x)exp[\sum_{j=1}^k q_j(\nu)t_j(x)]\\ =1_{x_i\geq x_{min}}(\nu ^n x_{min}^{n(\nu-1)})exp[-\nu \sum_{i=1}^n ln x_i]\\
f(x;ν)=(ν−1)nxmin−n(ν−1)i=1∏nxi−ν1xi≥xmin=c(ν)h(x)exp[j=1∑kqj(ν)tj(x)]=1xi≥xmin(νnxminn(ν−1))exp[−νi=1∑nlnxi]
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Let $ Y=ln\frac{x}{x_{min}}$,so
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f_X(x)=(\nu-1)x_{min}^{\nu-1}x^{-\nu}1_{x\geq x_{min}}\\ f_Y(y)=f_X(x_{min}e^Y)|\frac{dx}{dy}|\\ =(\nu-1)x_{min}^{\nu-1}(x_{min}e^Y)^{-\nu}1_{x_{min}e^Y\geq x_{min}}x_{min}e^Y\\ =(\nu-1)e^{-y(\nu-1)}1_{Y\geq 0}\\
fX(x)=(ν−1)xminν−1x−ν1x≥xminfY(y)=fX(xmineY)∣dydx∣=(ν−1)xminν−1(xmineY)−ν1xmineY≥xminxmineY=(ν−1)e−y(ν−1)1Y≥0
So y follows the exponential distribution with rate
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z=\sum_{i=1}^nY_i=\sum_{i=1}^nlnX_i-lnX_{min}\\ z\sim \Gamma(n.\nu-1)\\ E(Y_i)=\frac{1}{\nu-1}\\ E(z)=\frac{n}{\nu-1}\\
z=i=1∑nYi=i=1∑nlnXi−lnXminz∼Γ(n.ν−1)E(Yi)=ν−11E(z)=ν−1n
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1+n1∑i=1nYi1 is an unbiased estimator for
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E[\frac{n}{z}]=E[\frac{1}{\frac{1}{n}\sum_{i=1}^n Y_i}]\\ =n\int_0^\infin \frac{1}{z}\frac{1}{\Gamma(n)}(\nu-1)^nz^{n-1}e^{-(\nu-1)z}dz\\ =n\frac{(\nu-1)\Gamma(n-1)}{\Gamma(n)}\int_0^\infin \frac{1}{\Gamma(n-1)}(\nu-1)^{n-1}z^{n-2}e^{-(\nu-1)z}dz\\ =\frac{n(\nu-1)}{n-1}\\ According~to~Lehmann-Scheffe ~Theorem\\ \sum_{i=1}^n lnx_i ~is~complete ~and~sufficient\\ \because T=\frac{n-1}{n} \frac{1}{\frac{1}{n}\sum_{i=1}^n Y_i}+1~is~unbiased~for~\tau(\nu)=\nu\\
E[zn]=E[n1∑i=1nYi1]=n∫0∞z1Γ(n)1(ν−1)nzn−1e−(ν−1)zdz=nΓ(n)(ν−1)Γ(n−1)∫0∞Γ(n−1)1(ν−1)n−1zn−2e−(ν−1)zdz=n−1n(ν−1)According to Lehmann−Scheffe Theoremi=1∑nlnxi is complete and sufficient∵T=nn−1n1∑i=1nYi1+1 is unbiased for τ(ν)=ν
So an unbiased for
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\hat{\nu}_{good}=\frac{n-1}{n} \frac{1}{\frac{1}{n}\sum_{i=1}^n Y_i}+1=\frac{n-1}{ \sum_{i=1}^n ln X_i-lnX_{min}}+1
ν^good=nn−1n1∑i=1nYi1+1=∑i=1nlnXi−lnXminn−1+1.
To find CRLB for
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CRLB(\nu)=\frac{\tau'(\nu)^2}{nE[\frac{\partial }{\partial \nu}ln f(x;\nu)]^2}\\ \tau(\nu)=\nu\\ p_k=\frac{\nu-1}{k_{min}}(\frac{k}{k_{min}})^{-\nu}\\ ln f(x;\nu)=ln(\nu-1)-(\nu-1)lnx_{min}-\nu lnx\\ \frac{\partial }{\partial \nu}ln f(x;\nu)=\frac{1}{\nu-1}-lnx_{min}-lnx\\ CRLB(\nu)=\frac{1}{nE[\frac{1}{\nu-1}-Y]^2}\\ E[\frac{1}{\nu-1}-Y]^2=\frac{1}{(\nu-1)^2}-\frac{2}{\nu-1}\frac{1}{\nu-1}+Var[y^2]+E[y]^2\\ =\frac{1}{(\nu-1)^2}\\ \therefore CRLB(\nu)=\frac{(\nu-1)^2}{n}\\
CRLB(ν)=nE[∂ν∂lnf(x;ν)]2τ′(ν)2τ(ν)=νpk=kminν−1(kmink)−νlnf(x;ν)=ln(ν−1)−(ν−1)lnxmin−νlnx∂ν∂lnf(x;ν)=ν−11−lnxmin−lnxCRLB(ν)=nE[ν−11−Y]21E[ν−11−Y]2=(ν−1)21−ν−12ν−11+Var[y2]+E[y]2=(ν−1)21∴CRLB(ν)=n(ν−1)2
E [ ν ^ M L E ] = E [ 1 + 1 1 n ∑ i = 1 n Y i ] = E [ n z ] + 1 = n ( ν − 1 ) n − 1 + 1 E [ ν ^ M L E 2 ] = E [ 1 + 2 1 n ∑ i = 1 n Y i + ( 1 1 n ∑ i = 1 n Y i ) 2 ] = 1 + 2 n ( ν − 1 ) n − 1 + n 2 ∫ 0 ∞ 1 z 2 1 Γ ( n ) ( ν − 1 ) n z n − 1 e − ( ν − 1 ) z d z = 1 + 2 n ( ν − 1 ) n − 1 + n 2 ( ν − 1 ) 2 ( n − 1 ) ( n − 2 ) V a r ( ν ^ M L E 2 ) = E [ ν ^ M L E 2 ] − E [ ν ^ M L E ] 2 = 1 + 2 n ( ν − 1 ) n − 1 + n 2 ( ν − 1 ) 2 ( n − 1 ) ( n − 2 ) − ( n ( ν − 1 ) n − 1 + 1 ) 2 = n 2 ( ν − 1 ) 2 ( n − 1 ) 2 ( n − 2 ) ∴ C R L B ( ν ) = ( ν − 1 ) 2 n ≤ n 2 ( ν − 1 ) 2 ( n − 1 ) 2 ( n − 2 ) = V a r ( ν ^ M L E 2 ) E[\hat{\nu}_{MLE}]=E[1+\frac{1}{\frac{1}{n}\sum_{i=1}^n Y_i}]=E[\frac{n}{z}]+1\\ =\frac{n(\nu-1)}{n-1}+1\\ E[\hat{\nu}^2_{MLE}]=E[1+\frac{2}{\frac{1}{n}\sum_{i=1}^n Y_i}+(\frac{1}{\frac{1}{n}\sum_{i=1}^n Y_i})^2]\\ =1+\frac{2n(\nu-1)}{n-1}+n^2\int_0^\infin \frac{1}{z^2}\frac{1}{\Gamma(n)}(\nu-1)^nz^{n-1}e^{-(\nu-1)z}dz\\ =1+\frac{2n(\nu-1)}{n-1}+\frac{n^2(\nu-1)^2}{(n-1)(n-2)}\\ Var(\hat{\nu}^2_{MLE})=E[\hat{\nu}^2_{MLE}]-E[\hat{\nu}_{MLE}]^2\\ =1+\frac{2n(\nu-1)}{n-1}+\frac{n^2(\nu-1)^2}{(n-1)(n-2)}-(\frac{n(\nu-1)}{n-1}+1)^2\\ =\frac{n^2(\nu-1)^2}{(n-1)^2(n-2)}\\ \therefore CRLB(\nu)=\frac{(\nu-1)^2}{n} \leq \frac{n^2(\nu-1)^2}{(n-1)^2(n-2)}=Var(\hat{\nu}^2_{MLE}) E[ν^MLE]=E[1+n1∑i=1nYi1]=E[zn]+1=n−1n(ν−1)+1E[ν^MLE2]=E[1+n1∑i=1nYi2+(n1∑i=1nYi1)2]=1+n−12n(ν−1)+n2∫0∞z21Γ(n)1(ν−1)nzn−1e−(ν−1)zdz=1+n−12n(ν−1)+(n−1)(n−2)n2(ν−1)2Var(ν^MLE2)=E[ν^MLE2]−E[ν^MLE]2=1+n−12n(ν−1)+(n−1)(n−2)n2(ν−1)2−(n−1n(ν−1)+1)2=(n−1)2(n−2)n2(ν−1)2∴CRLB(ν)=n(ν−1)2≤(n−1)2(n−2)n2(ν−1)2=Var(ν^MLE2)
V a r ( ν ^ U M V U E ) = V a r ( n − 1 n 1 1 n ∑ i = 1 n Y i + 1 ) = ( n − 1 ) 2 n 2 V a r ( ν ^ M L E ) = ( n − 1 ) 2 n 2 ∗ n 2 ( ν − 1 ) 2 ( n − 1 ) 2 ( n − 2 ) = ( ν − 1 ) 2 n − 2 ∴ C R L B ( ν ) = ( ν − 1 ) 2 n ≤ ( ν − 1 ) 2 n − 2 = V a r ( ν ^ U M V U E 2 ) Var(\hat{\nu}_{UMVUE})=Var(\frac{n-1}{n} \frac{1}{\frac{1}{n}\sum_{i=1}^n Y_i}+1)\\ =\frac{(n-1)^2}{n^2}Var(\hat{\nu}_{MLE})\\ =\frac{(n-1)^2}{n^2}*\frac{n^2(\nu-1)^2}{(n-1)^2(n-2)}\\ =\frac{(\nu-1)^2}{n-2}\\ \therefore CRLB(\nu)=\frac{(\nu-1)^2}{n} \leq \frac{(\nu-1)^2}{n-2}=Var(\hat{\nu}^2_{UMVUE}) Var(ν^UMVUE)=Var(nn−1n1∑i=1nYi1+1)=n2(n−1)2Var(ν^MLE)=n2(n−1)2∗(n−1)2(n−2)n2(ν−1)2=n−2(ν−1)2∴CRLB(ν)=n(ν−1)2≤n−2(ν−1)2=Var(ν^UMVUE2)
To estimate
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Y=ln\frac{x}{x_{min}}which~follows ~exponential~distrbution\\ 100(1-\alpha)\% =P(\Gamma_{\frac{\alpha}{2}}(n,\nu-1)\leq Y\leq \Gamma_{1-\frac{\alpha}{2}}(n,\nu-1))\\ =P[\frac{n}{\Gamma_{1-\frac{\alpha}{2}}(n,\nu-1)}+1\leq \hat{\nu}_{MLE}\leq \frac{n}{\Gamma_{\frac{\alpha}{2}}(n,\nu-1)}+1]\\ CI=(\frac{n}{\Gamma_{1-\frac{\alpha}{2}}(n,\nu-1)}+1,\frac{n}{\Gamma_{\frac{\alpha}{2}}(n,\nu-1)}+1)\\
Y=lnxminxwhich follows exponential distrbution100(1−α)%=P(Γ2α(n,ν−1)≤Y≤Γ1−2α(n,ν−1))=P[Γ1−2α(n,ν−1)n+1≤ν^MLE≤Γ2α(n,ν−1)n+1]CI=(Γ1−2α(n,ν−1)n+1,Γ2α(n,ν−1)n+1)
According to CLT
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\hat{\nu}_{MLE}=1+n[\sum_{i=1}^nln\frac{x_i}{x_{min}}]^{-1}\\ \frac{\sum_{i=1}^nX_i}{n}=e^{\frac{n}{\hat{\nu}-1}}\frac{\sum_{i=1}X_{min}}{n}\\ \frac{\overline{X}-e^{\frac{n}{\hat{\nu}-1}}\frac{\sum_{i=1}X_{min}}{n}}{S/\sqrt{n}} \sim t(n-1)\\ 100(1-\alpha)\%=P(-t_{1-\frac{\alpha}{2}}(n-1)\leq \frac{\overline{X}-e^{\frac{n}{\hat{\nu}-1}}\frac{\sum_{i=1}X_{min}}{n}}{S/\sqrt{n}} \leq t_{1-\frac{\alpha}{2}}(n-1))\\ =P(1+\frac{n}{ln\frac{\overline{X}+t_{1-\frac{\alpha}{2}}(n-1)\frac{S}{\sqrt{n}}}{\frac{\sum_{i=1}^nX_{min}}{n}}} \leq \hat{\nu} \leq 1+\frac{n}{ln\frac{\overline{X}-t_{1-\frac{\alpha}{2}}(n-1)\frac{S}{\sqrt{n}}}{\frac{\sum_{i=1}^nX_{min}}{n}}})\\ CI=(1+\frac{n}{ln\frac{\overline{X}+t_{1-\frac{\alpha}{2}}(n-1)\frac{S}{\sqrt{n}}}{\frac{\sum_{i=1}^nX_{min}}{n}}}, 1+\frac{n}{ln\frac{\overline{X}-t_{1-\frac{\alpha}{2}}(n-1)\frac{S}{\sqrt{n}}}{\frac{\sum_{i=1}^nX_{min}}{n}}})\\
ν^MLE=1+n[i=1∑nlnxminxi]−1n∑i=1nXi=eν^−1nn∑i=1XminS/nX−eν^−1nn∑i=1Xmin∼t(n−1)100(1−α)%=P(−t1−2α(n−1)≤S/nX−eν^−1nn∑i=1Xmin≤t1−2α(n−1))=P(1+lnn∑i=1nXminX+t1−2α(n−1)nSn≤ν^≤1+lnn∑i=1nXminX−t1−2α(n−1)nSn)CI=(1+lnn∑i=1nXminX+t1−2α(n−1)nSn,1+lnn∑i=1nXminX−t1−2α(n−1)nSn)
For hypothesis test, test
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H_0: \nu>\nu_0, H_1:\nu<\nu_0
H0:ν>ν0,H1:ν<ν0 at significant level
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\alpha = P[1+n[\sum_{i=1}^nln\frac{x_i}{x_{min}}]^{-1}\geq \nu_0]\\ =P[\sum_{i=1}^nln\frac{x}{x_{min}}\leq \frac{n}{\nu_0-1}]\\ =P[\Gamma_{1-\alpha}(n,\nu-1)\leq \frac{n}{\nu_0-1}]\\ If~ \Gamma_{1-\alpha}(n,\hat{\nu}-1)\leq \frac{n}{\nu_0-1},reject~H_0\\ \beta=P(Type II)=P(accept~ H_0|H_1)\\ =P[\Gamma_{1-\alpha}(n,\hat{\nu}-1)> \frac{n}{\nu_0-1}|\nu<\nu_0]\\
α=P[1+n[i=1∑nlnxminxi]−1≥ν0]=P[i=1∑nlnxminx≤ν0−1n]=P[Γ1−α(n,ν−1)≤ν0−1n]If Γ1−α(n,ν^−1)≤ν0−1n,reject H0β=P(TypeII)=P(accept H0∣H1)=P[Γ1−α(n,ν^−1)>ν0−1n∣ν<ν0]
Similarly, according to CLT
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\alpha=P( \frac{\overline{X}-e^{\frac{n}{\hat{\nu}-1}}\frac{\sum_{i=1}X_{min}}{n}}{S/\sqrt{n}} \geq t_{1-\alpha}(n-1))\\ =P[\nu \geq 1+\frac{n}{ln\frac{\overline{X}-t_{1-\alpha}(n-1)\frac{S}{\sqrt{n}}}{\frac{\sum_{i=1}^nX_{min}}{n}}})]\\ If~\hat{\nu} \geq 1+\frac{n}{ln\frac{\overline{X}-t_{1-\alpha}(n-1)\frac{S}{\sqrt{n}}}{\frac{\sum_{i=1}^nX_{min}}{n}}},reject ~H_0
α=P(S/nX−eν^−1nn∑i=1Xmin≥t1−α(n−1))=P[ν≥1+lnn∑i=1nXminX−t1−α(n−1)nSn)]If ν^≥1+lnn∑i=1nXminX−t1−α(n−1)nSn,reject H0
estimation method | function | unbiasedness | consistency | effectiveness |
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measurement | calculate by function F | calculate the E(F) | calculate E(F) given n → ∞ n\rightarrow \infin n→∞ | compared with C R L B ( ν ) = ( ν − 1 ) 2 n CRLB(\nu)=\frac{(\nu-1)^2}{n} CRLB(ν)=n(ν−1)2 |
MME | − 2 ( ∑ x i ) 2 + 2 n ∑ x i 2 ± − n ( ∑ x i ) 2 ∑ x i 2 + n 2 ( ∑ x i 2 ) 2 − ( ∑ x i ) 2 + n ∑ x i 2 \frac{-2(\sum x_i)^2+2n\sum x_i^2 \pm \sqrt{-n(\sum x_i)^2 \sum x_i^2+n^2 (\sum x_i^2)^2}}{-(\sum x_i)^2+n\sum x_i^2} −(∑xi)2+n∑xi2−2(∑xi)2+2n∑xi2±−n(∑xi)2∑xi2+n2(∑xi2)2 | biased | E [ ν ^ M M E ] → 3 o r 1 E[\hat{\nu}_{MME}]\rightarrow 3~or~1 E[ν^MME]→3 or 1 | bigger than ( ν − 1 ) 2 n \frac{(\nu-1)^2}{n} n(ν−1)2 |
MLE | 1 + n [ ∑ i = 1 n l n x i x m i n ] − 1 1+n[\sum_{i=1}^nln\frac{x_i}{x_{min}}]^{-1} 1+n[∑i=1nlnxminxi]−1 | E [ ν ^ M L E ] = n ν n − 1 − 1 n − 1 E[\hat{\nu}_{MLE}]=\frac{n\nu}{n-1}-\frac{1}{n-1} E[ν^MLE]=n−1nν−n−11 | E [ ν ^ M L E ] → ν E[\hat{\nu}_{MLE}]\rightarrow \nu E[ν^MLE]→ν | n 2 ( ν − 1 ) 2 ( n − 1 ) 2 ( n − 2 ) ≥ ( ν − 1 ) 2 n \frac{n^2(\nu-1)^2}{(n-1)^2(n-2)}\geq \frac{(\nu-1)^2}{n} (n−1)2(n−2)n2(ν−1)2≥n(ν−1)2 |
unbised estimator | 1 + n − 1 ∑ i = 1 n l n X i − l n X m i n 1+\frac{n-1}{ \sum_{i=1}^n ln X_i-lnX_{min}} 1+∑i=1nlnXi−lnXminn−1 | E [ ν ^ U M V U E ] = ν E[\hat{\nu}_{UMVUE}]=\nu E[ν^UMVUE]=ν | E [ ν ^ U M V U E ] → ν E[\hat{\nu}_{UMVUE}]\rightarrow \nu E[ν^UMVUE]→ν | ( ν − 1 ) 2 n − 2 ≥ ( ν − 1 ) 2 n \frac{(\nu-1)^2}{n-2}\geq \frac{(\nu-1)^2}{n} n−2(ν−1)2≥n(ν−1)2 |
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