Home >> Scandinavian Journal of Statistics, Volume 28, Number 3

Penultimate Approximation for Hill's Estimator

Authors: Cheng, S.1; De Haan, L.2

Source: Scandinavian Journal of Statistics, Volume 28, Number 3, September 2001 , pp. 569-575(7)

Publisher: Wiley-Blackwell

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Abstract:

We prove that the probability distribution of Hill's estimator can be better approximated by a series of appropriate gamma distributions than by the limiting normal distribution.

Keywords: Hill's estimator; penultimate; approximation; tail estimation

Document Type: Original article

DOI: http://dx.doi.org/10.1111/1467-9469.00255

Affiliations: 1: Peking University, 2: Erasmus University Rotterdam

Publication date: 2001-09-01

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