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Penultimate Approximation for Hill's Estimator
Cheng, S.
;
Haan, L.F.M. de
-
Tinbergen Instituut
-
1999
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.
Persistent link: https://www.econbiz.de/10011255696
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Penultimate Approximation for Hill's Estimator
Cheng, S.
;
Haan, L.F.M. de
-
Tinbergen Institute
-
1999
We prove that the probability distribution of Hill's estimator can be better approximated by a series of appropriate gamma distributions than by the limiting normal distribution.
Persistent link: https://www.econbiz.de/10005281892
Saved in:
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