Moment estimation for multivariate extreme value distribution

DOI10.1007/BF02663895zbMath0819.62047OpenAlexW79303542MaRDI QIDQ1891682

Daoji Shi

Publication date: 31 July 1995

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf02663895

zbMATH Keywords

maximum likelihood estimationasymptotic efficiencymethod of momentsasymptotic covariance matrixdependencemultivariate extreme value distributionsgeneralized variance of moment estimatorsstepwise estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12)

Cites Work

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• Multivariate extreme value distribution and its Fisher information matrix
• Statistics of Multivariate Extremes
• Approximation Theorems of Mathematical Statistics
• Bivariate extreme value theory: Models and estimation
• Fisher Information for a Bivariate Extreme Value Distribution

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