Approximation of the Hill estimator process

DOI10.1016/S0167-7152(98)00079-0MaRDI QIDQ1273016zbMATH OpenOpenAlexFDO

Authors Edgar Kaufmann, Rolf-Dieter Reiss

Publication date 2 December 1998

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(98)00079-0

zbMATH Keywords

Hill estimatorKaramata representationWiener process approximation

Mathematics Subject Classification ID

Point estimation (62F10) Central limit and other weak theorems (60F05)

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Cites work

• scientific article; zbMATH DE number 3858075 (Why is no real title available?)
• scientific article; zbMATH DE number 5604036 (Why is no real title available?)
• scientific article; zbMATH DE number 272681 (Why is no real title available?)
• A limit theorem for the maximum of normalized sums of independent random variables
• A simple general approach to inference about the tail of a distribution
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• An approximation of partial sums of independent RV's, and the sample DF. II
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Approximation theorems for independent and weakly dependent random vectors
• Kernel estimates of the tail index of a distribution
• Selecting the optimal sample fraction in univariate extreme value estimation

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• Evolution in games with a continuous action space
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