1999-08-11
Penultimate Approximation for Hill's Estimator
Publication
Publication
We prove that the probability distribution of Hill's estimator can be better approximated by a series of appropriate gamma distributions than by the limiting normal distribution.
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| hdl.handle.net/1765/7716 | |
| Tinbergen Institute Discussion Paper Series | |
| Organisation | Tinbergen Institute |
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Cheng, S, & de Haan, L.F.M. (1999). Penultimate Approximation for Hill's Estimator (No. TI 99-063/4). Tinbergen Institute Discussion Paper Series. Retrieved from http://hdl.handle.net/1765/7716
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