Penultimate Approximation for Hill's Estimator

We prove that the probability distribution of Hill's estimator can be better approximated by a series of appropriate gamma distributions than by the limiting normal distribution.

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Year of publication:	1999-08-11
Authors:	Cheng, S. ; Haan, L.F.M. de
Institutions:	Tinbergen Institute

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Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 99-062/4
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005281892