Direct Reduction of Bias of the Classical Hill Estimator
In this paper we are interested in an adequate estimation of the dominant component of the bias of Hill’s estimator of a positive tail index γ, in order to remove it from the classical Hill estimator in different asymptotically equivalent ways. If the second order parameters in the bias are compute...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Instituto Nacional de Estatística | Statistics Portugal
2005-11-01
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| Series: | Revstat Statistical Journal |
| Subjects: | |
| Online Access: | https://revstat.ine.pt/index.php/REVSTAT/article/view/21 |