Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

E. Haeusler, J. Segers

Research output: Working paperDiscussion paperOther research output

Abstract

AMS classifications: 62G20, 62G32;
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages27
Volume2005-129
Publication statusPublished - 2005

Publication series

NameCentER Discussion Paper
Volume2005-129

Keywords

  • asymptotic normality
  • confidence intervals
  • Edgeworth expansions
  • extreme value index
  • Hill estimator
  • regular variation
  • tail index

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