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Approximation of the Hill estimator process

An approximation result for a vector of Hill estimators - in the following addressed as Hill process - is proven. It is shown that the Hill process can be approximated on a suitable probability space by a Wiener process and a deterministic bias term. Moreover, the accuracy of the approximation is, roughly speaking, given by the rate of convergence of a certain term in the Karamata representation of the quantile function.
Year of publication:
1998
Authors: Kaufmann, E. ; Reiss, R. -D.
Published in:
Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 39.1998, 4, p. 347-354
Publisher: Elsevier
Keywords: Hill estimator Karamata representation Wiener process approximation
Type of publication: Article
Source:
Persistent link: https://www.econbiz.de/10005319902
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