Abstract
We establish Edgeworth expansions for the distribution function of the standardized Hill estimator for the reciprocal of the index of regular variation of the tail of a distribution function. The expansions are used to derive expansions for coverage probabilities of confidence intervals for the tail index based on the Hill estimator.
Citation
Erich Haeusler. Johan Segers. "Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator." Bernoulli 13 (1) 175 - 194, February 2007. https://doi.org/10.3150/07-BEJ5175
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