Penultimate Approximation for Hill's Estimator
Work
Year: 2001
Type: article
Abstract: 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.
Authors Shan Cheng, Laurens de Haan
Institutions Peking University, Erasmus University Rotterdam
Cites: 4
Cited by: 7
Related to: 10
FWCI: 0.564
Citation percentile (by year/subfield): 68.49
Subfield: Finance
Domain: Social Sciences
Open Access status: green