On maximum likelihood estimation of the extreme value index

Holger Drees; Ana Ferreira; Laurens de Haan

doi:10.1214/105051604000000279

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Home > Journals > Ann. Appl. Probab. > Volume 14 > Issue 3 > Article

August 2004 On maximum likelihood estimation of the extreme value index

Holger Drees, Ana Ferreira, Laurens de Haan

Ann. Appl. Probab. 14(3): 1179-1201 (August 2004). DOI: 10.1214/105051604000000279

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Abstract

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

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Holger Drees. Ana Ferreira. Laurens de Haan. "On maximum likelihood estimation of the extreme value index." Ann. Appl. Probab. 14 (3) 1179 - 1201, August 2004. https://doi.org/10.1214/105051604000000279

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Published: August 2004

First available in Project Euclid: 13 July 2004

zbMATH: 1102.62051

MathSciNet: MR2071420

Digital Object Identifier: 10.1214/105051604000000279

Subjects:

Primary: 62G32

Secondary: 62G20

Keywords: asymptotic normality , exceedances , extreme value index , maximum likelihood , order statistics , second-order condition

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Ann. Appl. Probab.

Vol.14 • No. 3 • August 2004

Institute of Mathematical Statistics

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Holger Drees, Ana Ferreira, Laurens de Haan "On maximum likelihood estimation of the extreme value index," The Annals of Applied Probability, Ann. Appl. Probab. 14(3), 1179-1201, (August 2004)

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