Edgeworth Expansions for the Distribution Function of the Hill Estimator

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

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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

Keywords

  • estimation
  • variation
  • statistical distribution

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  • 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). Econometrics.