Penultimate Approximation for Hill's Estimator

S. Cheng and L.F.M. de Haan ()
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S. Cheng: Peking University
L.F.M. de Haan: Erasmus University Rotterdam

No 99-062/4, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: We prove that the probability distribution of Hill's estimator can be betterapproximated by a series of appropriate gamma distributions than by the limitingnormal distribution.

Date: 1999-08-11
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