Abstract
Hill’s estimator has been shown to be very useful in tail and quantile estimation. In an earlier paper the authors found a broad class of underlying distributions such that Hill’s estimator is asymptotically normal. In this note the domain of attraction of the normal law is further specified.
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References
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© 1989 Springer-Verlag Berlin Heidelberg
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Beirlant, J., Teugels, J.L. (1989). Asymptotic Normality of Hill’s Estimator. In: Hüsler, J., Reiss, RD. (eds) Extreme Value Theory. Lecture Notes in Statistics, vol 51. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-3634-4_13
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DOI: https://doi.org/10.1007/978-1-4612-3634-4_13
Publisher Name: Springer, New York, NY
Print ISBN: 978-0-387-96954-1
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