Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribu\-tion

DOI10.1214/08-AOS677zbMath1173.62042arXiv0812.3485OpenAlexW3122296792MaRDI QIDQ834369

John H. J. Einmahl, Johan Segers

Publication date: 19 August 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0812.3485

zbMATH Keywords

functional central limit theoremmultivariate extremesnonparametric maximum likelihood estimatortail dependencelocal empirical processmoment constraintnational health and nutrition examination survey

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Nonparametric estimation (62G05) Central limit and other weak theorems (60F05) Order statistics; empirical distribution functions (62G30) Inference from stochastic processes and spectral analysis (62M15) Statistics of extreme values; tail inference (62G32) Functional limit theorems; invariance principles (60F17)

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Uses Software

• ismev

Cites Work

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