On maximum likelihood estimation of the extreme value index
Holger Drees, Ana Ferreira, and Laurens de Haan
Source: Ann. Appl. Probab. Volume 14, Number 3
(2004), 1179-1201.
Abstract
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.
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Keywords: Asymptotic normality; exceedances; extreme value index; maximum likelihood; order statistics; second-order condition
Full-text: Open access
Links and Identifiers
Permanent link to this document: http://projecteuclid.org/euclid.aoap/1089736282
Digital Object Identifier: doi:10.1214/105051604000000279
Mathematical Reviews number (MathSciNet): MR2071420
Zentralblatt MATH identifier: 02100769
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