Maximum likelihood estimation of extreme value index for irregular cases

DOI10.1016/j.jspi.2009.03.012zbMath1368.62038OpenAlexW2047858113MaRDI QIDQ2388968

Liang Peng, Yongcheng Qi

Publication date: 22 July 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.03.012

zbMATH Keywords

stable lawextreme value indexgeneralized Pareto distributionendpoint

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items

Rejoinder of “On studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”, A general estimator for the right endpoint with an application to supercentenarian women's records, Bootstrapping endpoint, Efficient empirical Bayes estimates for risk parameters of Pareto distributions, Empirical likelihood based inference for conditional Pareto-type tail index, Empirical likelihood based confidence intervals for the tail index when \({\gamma}<-1/2\), Empirical likelihood confidence intervals for the endpoint of a distribution function

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