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

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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

Fingerprint

Hill Estimator
Tail Index
Edgeworth Expansion
Confidence interval

Keywords

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

Cite this

Haeusler, E., & Segers, J. (2005). Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator. (CentER Discussion Paper; Vol. 2005-129). Tilburg: Econometrics.
Haeusler, E. ; Segers, J. / Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator. Tilburg : Econometrics, 2005. (CentER Discussion Paper).
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title = "Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator",
abstract = "AMS classifications: 62G20, 62G32;",
keywords = "asymptotic normality, confidence intervals, Edgeworth expansions, extreme value index, Hill estimator, regular variation, tail index",
author = "E. Haeusler and J. Segers",
note = "Subsequently published in Bernoulli, 2007 Pagination: 27",
year = "2005",
language = "English",
volume = "2005-129",
series = "CentER Discussion Paper",
publisher = "Econometrics",
type = "WorkingPaper",
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Haeusler, E & Segers, J 2005 'Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator' CentER Discussion Paper, vol. 2005-129, Econometrics, Tilburg.

Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator. / Haeusler, E.; Segers, J.

Tilburg : Econometrics, 2005. (CentER Discussion Paper; Vol. 2005-129).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

AU - Haeusler, E.

AU - Segers, J.

N1 - Subsequently published in Bernoulli, 2007 Pagination: 27

PY - 2005

Y1 - 2005

N2 - AMS classifications: 62G20, 62G32;

AB - AMS classifications: 62G20, 62G32;

KW - asymptotic normality

KW - confidence intervals

KW - Edgeworth expansions

KW - extreme value index

KW - Hill estimator

KW - regular variation

KW - tail index

M3 - Discussion paper

VL - 2005-129

T3 - CentER Discussion Paper

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

PB - Econometrics

CY - Tilburg

ER -

Haeusler E, Segers J. Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator. Tilburg: Econometrics. 2005. (CentER Discussion Paper).