Large Deviation Theorem for Hill's Estimator

Authors
Shihong, Cheng
Citation
Shihong, Cheng, Large Deviation Theorem for Hill's Estimator, Acta Mathematica Sinica, New Series Chinese Journal of Mathematics, 8(3), 1992, pp. 243-254
Journal title
Acta Mathematica Sinica, New Series Chinese Journal of Mathematics → ACNP
ISSN journal
10009574
Volume
8
Issue
3
Year of publication
1992
Pages
243 - 254
Database
ACNP
SICI code
Abstract
To estimate the exponent of a regularly varying d.f. F, the asymptotic behaviour of Hill's estimator has been extensively discussed. Under the assumption that the d.f. F is continuous, we obtain the large deviation theorem for Hill's estimator.