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Asymptotic Normality of Hill’s Estimator

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Extreme Value Theory

Part of the book series: Lecture Notes in Statistics ((LNS,volume 51))

Abstract

Hill’s estimator has been shown to be very useful in tail and quantile estimation. In an earlier paper the authors found a broad class of underlying distributions such that Hill’s estimator is asymptotically normal. In this note the domain of attraction of the normal law is further specified.

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References

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Author information

Authors and Affiliations

  1. Katholieke Universiteit Leuven, Belgium

    Jan Beirlant & Jozef L. Teugels

Authors
  1. Jan Beirlant
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  2. Jozef L. Teugels
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Editor information

Editors and Affiliations

  1. Institut für mathematische Statistik, Universität Bern, Sidlerstrasse 5, 3012, Bern, Switzerland

    Jürg Hüsler

  2. Universität Gesamthochschule Siegen, Hölderlinstr. 3, 5900, Siegen, Federal Republic of Germany

    Rolf-Dieter Reiss

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© 1989 Springer-Verlag Berlin Heidelberg

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Beirlant, J., Teugels, J.L. (1989). Asymptotic Normality of Hill’s Estimator. In: Hüsler, J., Reiss, RD. (eds) Extreme Value Theory. Lecture Notes in Statistics, vol 51. Springer, New York, NY. https://doi.org/10.1007/978-1-4612-3634-4_13

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  • DOI: https://doi.org/10.1007/978-1-4612-3634-4_13

  • Publisher Name: Springer, New York, NY

  • Print ISBN: 978-0-387-96954-1

  • Online ISBN: 978-1-4612-3634-4

  • eBook Packages: Springer Book Archive

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