On asymptotic normality of the hill estimator
نویسندگان
چکیده
منابع مشابه
Asymptotic normality of Hill Estimator for truncated data
The problem of estimating the tail index from truncated data is addressed in ?. In that paper, a sample based (and hence random) choice of k is suggested, and it is shown that the choice leads to a consistent estimator of the inverse of the tail index. In this paper, the second order behavior of the Hill estimator with that choice of k is studied, under some additional assumptions. In the untru...
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ژورنال
عنوان ژورنال: Communications in Statistics. Stochastic Models
سال: 1998
ISSN: 0882-0287
DOI: 10.1080/15326349808807504