On maximum likelihood estimation of the extreme value index
Open Access
- 1 August 2004
- journal article
- Published by Institute of Mathematical Statistics in The Annals of Applied Probability
- Vol. 14 (3) , 1179-1201
- https://doi.org/10.1214/105051604000000279
Abstract
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.Keywords
All Related Versions
This publication has 11 references indexed in Scilit:
- On Smooth Statistical Tail FunctionalsScandinavian Journal of Statistics, 1998
- Generalized regular variation of second orderJournal of the Australian Mathematical Society. Series A. Pure Mathematics and Statistics, 1996
- Computing Maximum Likelihood Estimates for the Generalized Pareto DistributionTechnometrics, 1993
- A Moment Estimator for the Index of an Extreme-Value DistributionThe Annals of Statistics, 1989
- Estimating Tails of Probability DistributionsThe Annals of Statistics, 1987
- A Simple General Approach to Inference About the Tail of a DistributionThe Annals of Statistics, 1975
- Statistical Inference Using Extreme Order StatisticsThe Annals of Statistics, 1975
- Residual Life Time at Great AgeThe Annals of Probability, 1974
- Theoretical StatisticsPublished by Springer Nature ,1974
- Sur La Distribution Limite Du Terme Maximum D'Une Serie AleatoireAnnals of Mathematics, 1943