%0 Journal Article
%T Testing approximate normality of an estimator using the estimated MSE and bias with an application to the shape parameter of the generalized Pareto distribution
%A J. Martin van Zyl
%J Statistics
%D 2012
%I arXiv
%X Often it is not easy to choose between estimators, based on the estimated MSE and bias using simulation studies. Normality in small samples and a variance of the estimator, which is correct and easy to calculate using a single sample, give the added advantage that hypotheses concerning the parameter can be tested in new samples. A procedure to check normality is proposed where previously published MSE and bias are used to perform a test for normality. A confidence interval for the index of the S&P500 index is found by applying the results to estimators of the generalized Pareto distribution.
%U http://arxiv.org/abs/1210.2253v2