Edgeworth Expansions for the Distribution Function of the Hill Estimator

We establish Edgeworth expansions for the distribution function of the centered and normalized Hill estimator for the positive extreme value index.

Year of publication:	2003
Authors:	Cuntz, A. ; Haeusler, E. ; Segers, J.J.J.
Institutions:	Tilburg University, Center for Economic Research
Subject:	estimation \| variation \| statistical distribution

Extent:	application/pdf
Series:	Discussion Paper.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series CentER Discussion Paper Number 2003-8
Classification:	C13 - Estimation ; C14 - Semiparametric and Nonparametric Methods
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011091899