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Penultimate Approximation for Hill's Estimator

Author

Listed:
  • S. Cheng

    (Peking University)

  • L.F.M. de Haan

    (Erasmus University Rotterdam)

Abstract

We prove that the probability distribution of Hill's estimator can be betterapproximated by a series of appropriate gamma distributions than by the limitingnormal distribution.

Suggested Citation

  • S. Cheng & L.F.M. de Haan, 1999. "Penultimate Approximation for Hill's Estimator," Tinbergen Institute Discussion Papers 99-062/4, Tinbergen Institute.
    • Handle: RePEc:tin:wpaper:19990062
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    References listed on IDEAS

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    1. Holger Drees, 1998. "On Smooth Statistical Tail Functionals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 187-210, March.
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