Averages of Hill estimators

DOI10.1007/BF02603003zbMath1110.62046MaRDI QIDQ882925

M. Ivette Gomes, M. João Martins, M. Manuela Neves

Publication date: 25 May 2007

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

simulation; regular variation; asymptotic efficiency; heavy tails; Hill estimator

Mathematics Subject Classification ID

62G20: Asymptotic properties of nonparametric inference

62G05: Nonparametric estimation

62G30: Order statistics; empirical distribution functions

62G32: Statistics of extreme values; tail inference

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