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

Article information

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

First available in Project Euclid: 13 July 2004

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

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


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.

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