Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator

E. Haeusler, J.J.J. Segers

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Cite this

@article{594584e29d2d47f699e91c15fa5c76d0,

title = "Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator",

author = "E. Haeusler and J.J.J. Segers",

note = "Appeared earlier as CentER DP 2005-129",

year = "2007",

language = "English",

volume = "13",

pages = "175--194",

journal = "Bernoulli",

issn = "1350-7265",

publisher = "Bernoulli Society for Mathematical Statistics and Probability",

number = "1",

}