Bernoulli
- Bernoulli
- Volume 13, Number 1 (2007), 175-194.
Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
Erich Haeusler and Johan Segers
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.
Article information
Source
Bernoulli, Volume 13, Number 1 (2007), 175-194.
Dates
First available in Project Euclid: 30 March 2007
Permanent link to this document
https://projecteuclid.org/euclid.bj/1175287728
Digital Object Identifier
doi:10.3150/07-BEJ5175
Mathematical Reviews number (MathSciNet)
MR2307402
Zentralblatt MATH identifier
1111.62045
Keywords
asymptotic normality confidence intervals Edgeworth expansions extreme value index Hill estimator regular variation tail index
Citation
Haeusler, Erich; Segers, Johan. Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator. Bernoulli 13 (2007), no. 1, 175--194. doi:10.3150/07-BEJ5175. https://projecteuclid.org/euclid.bj/1175287728
