Template-Type: ReDIF-Paper 1.0
Series: Tinbergen Institute Discussion Papers
Creation-Date: 1999-08-11
Number: 99-062/4
Author-Name: S. Cheng
Author-Workplace-Name: Peking University
Author-Name: L.F.M. de Haan
Author-Email: ldehaan@few.eur.nl
Author-Workplace-Name: Erasmus University Rotterdam
Title: Penultimate Approximation for Hill's Estimator
Abstract: 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.
File-Url: https://papers.tinbergen.nl/99062.pdf
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Handle: RePEc:tin:wpaper:19990062