On the maximum likelihood estimator for the generalized extreme-value distribution

DOI10.1007/s10687-017-0292-6zbMath1398.62056arXiv1601.05702OpenAlexW2258651296MaRDI QIDQ1693610

Johan Segers, Axel Bücher

Publication date: 31 January 2018

Published in: Extremes (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1601.05702

zbMATH Keywords

maximum likelihood estimationgeneralized extreme-value distributiondifferentiability in quadratic mean

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Extreme value theory; extremal stochastic processes (60G70)

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Uses Software

• AS 215

Cites Work

• Asymptotic methods in statistical decision theory
• Maximum likelihood estimation of translation parameter of truncated distribution. II
• Testing extreme value models
• On maximum likelihood estimation of the extreme value index.
• Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
• Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
• Maximum likelihood estimation in a class of nonregular cases
• Asymptotic Statistics
• Maximum Likelihood Estimation of a Translation Parameter of a Truncated Distribution
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