Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator

DOI10.3150/07-BEJ5175MaRDI QIDQ880481zbMATH OpenOpenAlexFDO

Authors Erich Haeusler, Johan Segers

Publication date 15 May 2007

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://doi.org/10.3150/07-bej5175

zbMATH Keywords

asymptotic normalityconfidence intervalsEdgeworth expansionsextreme value indexHill estimatorregular variationtail index

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric tolerance and confidence regions (62G15) Statistics of extreme values; tail inference (62G32)

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