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Penultimate Approximation for Hill's Estimator
Author(s) -
Cheng S.,
De Haan L.
Publication year - 2001
Publication title -
scandinavian journal of statistics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.359
H-Index - 65
eISSN - 1467-9469
pISSN - 0303-6898
DOI - 10.1111/1467-9469.00255
Subject(s) - mathematics , estimator , series (stratigraphy) , statistics , asymptotic distribution , limiting , mechanical engineering , paleontology , engineering , biology
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.