Approximation of the Hill estimator process

DOI10.1016/S0167-7152(98)00079-0zbMATH Open0915.60029OpenAlexW2021150795MaRDI QIDQ1273016FDOQ1273016

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

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zbMATH Keywords

Hill estimatorKaramata representationWiener process approximation

Mathematics Subject Classification ID

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

Cites Work

• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• 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
• Selecting the optimal sample fraction in univariate extreme value estimation
• Title not available (Why is that?)
• Title not available (Why is that?)
• Kernel estimates of the tail index of a distribution
• Approximate distributions of order statistics. With applications to nonparametric statistics
• Title not available (Why is that?)
• Approximation theorems for independent and weakly dependent random vectors

Cited In (4)

• How to make a Hill plot.
• Evolution in games with a continuous action space
• Generalized Hill's estimator
• Extreme value analysis without the largest values: what can be done?

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