Edgeworth Expansions for the Distribution Function of the Hill Estimator

A. Cuntz, E. Haeusler, J.J.J. Segers

Research output: Working paperDiscussion paperOther research output

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Abstract

We establish Edgeworth expansions for the distribution function of the centered and normalized Hill estimator for the positive extreme value index.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages21
Volume2003-8
Publication statusPublished - 2003

Publication series

NameCentER Discussion Paper
Volume2003-8

Fingerprint

Extreme Value Index
Hill Estimator
Edgeworth Expansion
Distribution Function

Keywords

  • estimation
  • variation
  • statistical distribution

Cite this

Cuntz, A., Haeusler, E., & Segers, J. J. J. (2003). Edgeworth Expansions for the Distribution Function of the Hill Estimator. (CentER Discussion Paper; Vol. 2003-8). Tilburg: Econometrics.
Cuntz, A. ; Haeusler, E. ; Segers, J.J.J. / Edgeworth Expansions for the Distribution Function of the Hill Estimator. Tilburg : Econometrics, 2003. (CentER Discussion Paper).
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Cuntz, A, Haeusler, E & Segers, JJJ 2003 'Edgeworth Expansions for the Distribution Function of the Hill Estimator' CentER Discussion Paper, vol. 2003-8, Econometrics, Tilburg.

Edgeworth Expansions for the Distribution Function of the Hill Estimator. / Cuntz, A.; Haeusler, E.; Segers, J.J.J.

Tilburg : Econometrics, 2003. (CentER Discussion Paper; Vol. 2003-8).

Research output: Working paperDiscussion paperOther research output

TY - UNPB

T1 - Edgeworth Expansions for the Distribution Function of the Hill Estimator

AU - Cuntz, A.

AU - Haeusler, E.

AU - Segers, J.J.J.

N1 - Pagination: 21

PY - 2003

Y1 - 2003

N2 - We establish Edgeworth expansions for the distribution function of the centered and normalized Hill estimator for the positive extreme value index.

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

KW - estimation

KW - variation

KW - statistical distribution

M3 - Discussion paper

VL - 2003-8

T3 - CentER Discussion Paper

BT - Edgeworth Expansions for the Distribution Function of the Hill Estimator

PB - Econometrics

CY - Tilburg

ER -

Cuntz A, Haeusler E, Segers JJJ. Edgeworth Expansions for the Distribution Function of the Hill Estimator. Tilburg: Econometrics. 2003. (CentER Discussion Paper).