Approximation of the Hill estimator process

E. Kaufmann and R. -D. Reiss

Statistics & Probability Letters, 1998, vol. 39, issue 4, 347-354

Abstract: An approximation result for a vector of Hill estimators - in the following addressed as Hill process - is proven. It is shown that the Hill process can be approximated on a suitable probability space by a Wiener process and a deterministic bias term. Moreover, the accuracy of the approximation is, roughly speaking, given by the rate of convergence of a certain term in the Karamata representation of the quantile function.

Keywords: Hill; estimator; Karamata; representation; Wiener; process; approximation (search for similar items in EconPapers)
Date: 1998
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