where are the data points . This estimator exhibits a small finite sample-size bias of order , which is small when n > 100. Further, the standard error of the estimate is . This estimator is equivalent to the popular Hill estimator from quantitative finance and extreme value theory.
where are the data points . This estimator exhibits a small finite sample-size bias, of order , which is small when n > 100. Further, the standard error of the? estimate is . This estimator is equivalent to the pop.ular Hill estimator from quantitative finance and extreme value theory.