Maximum likelihood estimators based on the block maxima method

DOI10.3150/18-BEJ1032zbMath1466.62320arXiv1705.00465OpenAlexW2962929946MaRDI QIDQ2419654

Yanyan Li

Publication date: 14 June 2019

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1705.00465

zbMATH Keywords

asymptotic normalitymaximum likelihood estimatorextreme value indexpeaks-over-threshold methodblock maxima methodprobability weighted moment estimator

Mathematics Subject Classification ID

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

Related Items

Spatial dependence and space-time trend in extreme events, Multiple block sizes and overlapping blocks for multivariate time series extremes, Improved inference on risk measures for univariate extremes, Permutation bootstrap and the block maxima method, Location invariant heavy tail index estimation with block method, Maximum likelihood estimators based on the block maxima method, Modeling panels of extremes, Bootstrapping Extreme Value Estimators, Tail inference using extreme U-statistics, On the disjoint and sliding block maxima method for piecewise stationary time series, Inference for heavy tailed stationary time series based on sliding blocks, Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis, The coupling method in extreme value theory, A horse race between the block maxima method and the peak-over-threshold approach

Uses Software

• ismev

Cites Work

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