Existence and consistency of the maximum likelihood estimator for the extreme value index

DOI10.1016/j.jmva.2008.08.009zbMath1169.62038OpenAlexW1979784219MaRDI QIDQ1002359

Chen Zhou

Publication date: 25 February 2009

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2008.08.009

zbMATH Keywords

consistencymaximum likelihood estimatorextreme value indexextreme value condition

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Statistics of extreme values; tail inference (62G32)

Related Items (18)

Maximum likelihood estimation of extreme value index for irregular cases ⋮ Adapting the Hill estimator to distributed inference: dealing with the bias ⋮ Permutation bootstrap and the block maxima method ⋮ Extreme Value Theory and Statistics of Univariate Extremes: A Review ⋮ On the maximum likelihood estimation of extreme value index based on \(k\)-record values ⋮ Tail inference using extreme U-statistics ⋮ A new gamma generalized Lindley-Log-logistic distribution with applications ⋮ Estimation for the Generalized Pareto Distribution Using Maximum Likelihood and Goodness of Fit ⋮ Intensity‐based estimation of extreme loss event probability and value at risk ⋮ Empirical likelihood confidence intervals for the endpoint of a distribution function ⋮ The beta exponentiated Weibull distribution ⋮ Extreme value index estimator using maximum likelihood and moment estimation ⋮ The extent of the maximum likelihood estimator for the extreme value index ⋮ A new compound class of log-logistic Weibull–Poisson distribution: model, properties and applications ⋮ Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution ⋮ General results for the beta Weibull distribution ⋮ Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework ⋮ On tail trend detection: modeling relative risk

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A moment estimator for the index of an extreme-value distribution
• Estimating tails of probability distributions
• Strong limit theorems for weighted quantile processes
• Residual life time at great age
• Statistical inference using extreme order statistics
• A simple general approach to inference about the tail of a distribution
• On maximum likelihood estimation of the extreme value index.
• Sur la distribution limite du terme maximum d'une série aléatoire
• Some Best Parameter Estimates for Distributions with Finite Endpoint
• Almost sure convergence of the Hill estimator
• Computing Maximum Likelihood Estimates for the Generalized Pareto Distribution

This page was built for publication: Existence and consistency of the maximum likelihood estimator for the extreme value index