Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
(2007) Bernoulli : a journal of mathematical statistics and probability — Vol. 13, n° 1, p. 175-194 (2007)
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- Authors
- Abstract
- We establish Edgeworth expansions for the distribution function of the standardized Hill estimator for the reciprocal of the index of regular variation of the tail of a distribution function. The expansions are used to derive expansions for coverage probabilities of confidence intervals for the tail index based on the Hill estimator.
- Affiliations
University of Giessen Mathematical Institute Tilburg University Department of Econometrics and OR
Citations
Haeusler, E., & Segers, J. (2007). Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator. Bernoulli : a journal of mathematical statistics and probability, 13(1), 175-194. https://doi.org/10.3150/07-BEJ5175 (Original work published 2007)