Estimating extreme-value index from records (Q1273111)
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scientific article; zbMATH DE number 1229549
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating extreme-value index from records |
scientific article; zbMATH DE number 1229549 |
Statements
Estimating extreme-value index from records (English)
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6 December 1998
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The author studies the problem of statistical estimation of the index parameter of the extreme-value distribution. An estimator based on the record values is proposed and its asymptotic properties are investigated. It is shown that the estimator is consistent in the domain of attraction of extreme-value distributions, and under mild conditions is asymptotically normal.
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index parameter
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record values
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extreme-value distributions
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