Annals of Applied Probability

On maximum likelihood estimation of the extreme value index

Holger Drees, Ana Ferreira, and Laurens de Haan

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Abstract

We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.

Article information

Source
Ann. Appl. Probab., Volume 14, Number 3 (2004), 1179-1201.

Dates
First available in Project Euclid: 13 July 2004

Permanent link to this document
https://projecteuclid.org/euclid.aoap/1089736282

Digital Object Identifier
doi:10.1214/105051604000000279

Mathematical Reviews number (MathSciNet)
MR2071420

Zentralblatt MATH identifier
1102.62051

Subjects
Primary: 62G32: Statistics of extreme values; tail inference
Secondary: 62G20: Asymptotic properties

Keywords
Asymptotic normality exceedances extreme value index maximum likelihood order statistics second-order condition

Citation

Drees, Holger; Ferreira, Ana; de Haan, Laurens. On maximum likelihood estimation of the extreme value index. Ann. Appl. Probab. 14 (2004), no. 3, 1179--1201. doi:10.1214/105051604000000279. https://projecteuclid.org/euclid.aoap/1089736282


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References

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Annals of Applied Probability

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