Penultimate Approximation for Hill's Estimator

DOI10.1111/1467-9469.00255zbMath0980.62042OpenAlexW1975548445MaRDI QIDQ2771559

Shi Hong Cheng, Laurens De Haan

Publication date: 17 February 2002

Published in: Scandinavian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: http://papers.tinbergen.nl/99062.pdf

zbMATH Keywords

heavy-tailed distributionsasymptotic expansionstail index

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

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