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February 2007 Assessing confidence intervals for the tail index by Edgeworth expansions for the Hill estimator
Erich Haeusler, Johan Segers
Bernoulli 13(1): 175-194 (February 2007). DOI: 10.3150/07-BEJ5175

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

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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

Information

Published: February 2007
First available in Project Euclid: 30 March 2007

zbMATH: 1111.62045
MathSciNet: MR2307402
Digital Object Identifier: 10.3150/07-BEJ5175

Keywords: asymptotic normality , confidence intervals , Edgeworth expansions , extreme value index , Hill estimator , regular variation , tail index

Rights: Copyright © 2007 Bernoulli Society for Mathematical Statistics and Probability

Vol.13 • No. 1 • February 2007
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