Smoothing the Hill Estimator

For sequences of i.i.d. random variables whose common tail 1 – F is regularly varying at infinity wtih an unknown index – α < 0, it is well known that the Hill estimator is consistent for α –1 and usually asymptotically normally distributed. However, because the Hill estimator is a function of k...

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Veröffentlicht in:	Advances in applied probability 1997-03, Vol.29 (1), p.271-293
Hauptverfasser:	Resnick, Sidney, Stărică, Cătălin
Format:	Artikel
Sprache:	eng
Online-Zugang:	Volltext
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