Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator
CentER Discussion Paper No. 2005-129
26 Pages Posted: 17 Jan 2006
Date Written: December 2005
Abstract
We establish Edgeworth expansions for the distribution function of the centered and normalized Hill estimator for the reciprocal of the index of regular variation of the tail of a distribution function.The expansions are used to derive expansions for coverage probabilities of confidence intervals for the tail index based on the Hill estimator.
Keywords: asymptotic normality, confidence intervals, Edgeworth expansions, extreme value index, Hill estimator, regular variation, tail index
JEL Classification: C13, C14
Suggested Citation: Suggested Citation
Haeusler, Erich and Segers, Johan, Assessing Confidence Intervals for the Tail Index by Edgeworth Expansions for the Hill Estimator (December 2005). CentER Discussion Paper No. 2005-129, Available at SSRN: https://ssrn.com/abstract=875610 or http://dx.doi.org/10.2139/ssrn.875610
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