Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator

E. Haeusler and J. Segers
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J. Segers: Tilburg University, Center For Economic Research

No 2005-129, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: asymptotic normality; confidence intervals; Edgeworth expansions; extreme value index; Hill estimator; regular variation; tail index (search for similar items in EconPapers)
Date: 2005
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