On the maximum likelihood estimation of extreme value index based on \(k\)-record values

DOI10.1155/2020/5497413zbMath1445.62101OpenAlexW3037362561MaRDI QIDQ2193450

Mohamed El Arrouchi, Abderrahim Louzaoui

Publication date: 18 August 2020

Published in: Journal of Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1155/2020/5497413

zbMATH Keywords

maximum likelihood estimationextreme value index\(k\)-record values

Mathematics Subject Classification ID

Order statistics; empirical distribution functions (62G30) Statistics of extreme values; tail inference (62G32)

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• A moment estimator for the index of an extreme-value distribution
• Existence and consistency of the maximum likelihood estimator for the extreme value index
• Some results on increments of the Wiener process with applications to lag sums of i.i.d. random variables
• Estimating tails of probability distributions
• 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.
• Characterization of tail distributions based on record values by using the Beurling's Tauberian theorem
• Optimal choice of kn-records in the extreme value index estimation
• An approximation of partial sums of independent RV's, and the sample DF. II
• An approximation of partial sums of independent RV'-s, and the sample DF. I
• An Estimator of the Exponent of Regular Variation Based on K-Record Values
• Statistics of Extremes

This page was built for publication: On the maximum likelihood estimation of extreme value index based on \(k\)-record values