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On maximum likelihood estimation of the extreme value index · Study

WorkOn maximum likelihood estimation of the extreme value index

Holger Drees2002

OA

Workgreen2002

On maximum likelihood estimation of the extreme value index

Holger Drees · Ana Maria Ferreira · Laurens de Haan

90 citations·0/0 files stored·Publications of the UdS (Saarland University)

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Probability and Risk Models Probability and Statistical Research Statistical Distribution Estimation and Applications

Abstract

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

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References

1974Residual Life Time at Great Age 1989A Moment Estimator for the Index of an Extreme-Value Distribution 1987Estimating Tails of Probability Distributions 1998On Smooth Statistical Tail Functionals 1999A Bootstrap-based Method to Achieve Optimality in Estimating the Extreme-value Index

Cited by

2008Statistics of extremes under random censoring 2005Estimation of the extreme-value index and generalized quantile plots 2012A simple generalisation of the Hill estimator 2010On optimal portfolio diversification with respect to extreme risks 2022Overview and Open Research Topics in Statistics of Univariate Extremes 2006On testing extreme value conditions 2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributions 2005Hidden regular variation and the rank transform

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2004On maximum likelihood estimation of the extreme value indexarticle · 5 shared references 2005Estimation of the extreme-value index and generalized quantile plotsarticle · 5 shared references 2008Statistics of extremes under random censoringarticle · 4 shared references 2007Estimation of the extreme value index and extreme quantiles under random censoringarticle · 4 shared references 2006On testing extreme value conditionsarticle · 4 shared references 2008Statistics of extremes for IID data and breakthroughs in the estimation of the extreme value index: Laurens de Haan leading contributionsarticle · 4 shared references

Details

Year2002

Typeother

Published2002-01-01

VenuePublications of the UdS (Saarland University)

Languageen

Citations90

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.22028/d291-26222

openalex_workW3098643404

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