Extreme value index estimator using maximum likelihood and moment estimation

DOI10.1080/03610926.2013.861495zbMath1343.60062OpenAlexW2345441311MaRDI QIDQ5739178

Mathias Raschke, Deyuan Li, Juerg Hüsler

Publication date: 15 July 2016

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2013.861495

zbMATH Keywords

domain of attractionmaximum likelihood estimatormoment estimatorextreme value indexgeneralized Pareto distributionasymptotic normal distribution

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Related Items (2)

On consistency of the likelihood moment estimators for a linear process with regularly varying innovations ⋮ A location-invariant non-positive moment-type estimator of the extreme value index

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