Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework

DOI10.3150/13-BEJ573zbMath1388.62042arXiv1301.5611MaRDI QIDQ2345127

Clément Dombry

Publication date: 19 May 2015

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1301.5611

zbMATH Keywords

consistencymaximum likelihood estimatorextreme value indexblock maxima method

Mathematics Subject Classification ID

Point estimation (62F10) Order statistics; empirical distribution functions (62G30)

Related Items (15)

Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach ⋮ Consistency of Bayesian inference for multivariate max-stable distributions ⋮ Multiple block sizes and overlapping blocks for multivariate time series extremes ⋮ Maximum likelihood estimators based on the block maxima method ⋮ Reference Priors for the Generalized Extreme Value Distribution ⋮ On the maximum likelihood estimator for the generalized extreme-value distribution ⋮ Strong convergence of multivariate maxima ⋮ Modeling panels of extremes ⋮ On the disjoint and sliding block maxima method for piecewise stationary time series ⋮ Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions ⋮ Modeling maxima with autoregressive conditional Fréchet model ⋮ Inference for heavy tailed stationary time series based on sliding blocks ⋮ On second order conditions in the multivariate block maxima and peak over threshold method ⋮ Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis ⋮ A horse race between the block maxima method and the peak-over-threshold approach

Uses Software

• AS 215

Cites Work

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• Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples
• Asymptotic Statistics
• Statistics of Extremes
• Note on the Consistency of the Maximum Likelihood Estimate

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