Hill-估计量的二阶Edgeworth展式

The Second Order Edgeworth Expansion of the Distribution of the Hill Hstimator

具有正规变化尾的重尾分布的尾指标的估计是一个重要问题.本文利用二阶广义正规变化函数理论给出了尾指标的Hill 估计量的分布的三阶Edgeworth展式.

The estimation of the tail index of the heavy tailed distribution with regular variation tail is an important problem. In this paper we study the second order Edgeworth expansion of the distribution of the Hill estimator of the tail index by second order regular variation function.