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

Bernoulli

Volumn 13, Issue 1, 2007, Pages 175-194

  Haeusler, Erich ^a   Segers, Johan ^b  

^a JUSTUS LIEBIG UNIVERSITY   (Germany)

^b TILBURG UNIVERSITY   (Netherlands)

Author keywords

Asymptotic normality; Confidence intervals; Edgeworth expansions; Extreme value index; Hill estimator; Regular variation; Tail index

Indexed keywords

EID: 47249134924     PISSN: 13507265     EISSN: None     Source Type: Journal    
DOI: 10.3150/07-BEJ5175     Document Type: Article

References (25)

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