Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator
Year of publication: |
2005
|
---|---|
Authors: | Haeusler, E. ; Segers, J. |
Institutions: | Tilburg University, Center for Economic Research |
Subject: | asymptotic normality | confidence intervals | Edgeworth expansions | extreme value index | Hill estimator | regular variation | tail index |
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