Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator
AbstractAMS classifications: 62G20, 62G32;
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Bibliographic InfoPaper provided by Tilburg University, Center for Economic Research in its series Discussion Paper with number 2005-129.
Date of creation: 2005
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asymptotic normality; confidence intervals; Edgeworth expansions; extreme value index; Hill estimator; regular variation; tail index;
Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
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- Beirlant, J. & Bouquiaux, C. & Werker, B.J.M., 2001. "Semiparametric Lower Bounds for Tail Index Estimation," Discussion Paper 2001-65, Tilburg University, Center for Economic Research.
- S. Cheng, 2001.
"Penultimate Approximation for Hill's Estimator,"
Scandinavian Journal of Statistics,
Danish Society for Theoretical Statistics & Finnish Statistical Society & Norwegian Statistical Association & Swedish Statistical Association, vol. 28(3), pages 569-575.
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