Existence and consistency of the maximum likelihood estimator for the extreme value index
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- Einmahl, J. H.J. & Dekkers, A. L.M. & de Haan, L., 1989. "A moment estimator for the index of an extreme-value distribution," Other publications TiSEM 81970cb3-5b7a-4cad-9bf6-2, Tilburg University, School of Economics and Management.
- Einmahl, J. H. & Mason, D. M., 1988. "Strong limit theorems for weighted quantile processes," Other publications TiSEM 4bbe972d-b641-42a4-b2b8-0, Tilburg University, School of Economics and Management.
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Cited by:
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Deyuan Li & Liang Peng & Yongcheng Qi, 2011. "Empirical likelihood confidence intervals for the endpoint of a distribution function," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(2), pages 353-366, August.
- Mavis Pararai & Broderick O. Oluyede & Gayan Warahena-Liyanage, 2016. "The Beta Lindley-Poisson Distribution with Applications," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 5(4), pages 1-1.
- M. Ivette Gomes & Armelle Guillou, 2015. "Extreme Value Theory and Statistics of Univariate Extremes: A Review," International Statistical Review, International Statistical Institute, vol. 83(2), pages 263-292, August.
- Wolfgang Kössler & Janine Ott, 2019. "Two-sided variable inspection plans for arbitrary continuous populations with unknown distribution," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 103(3), pages 437-452, September.
- Oorschot, Jochem & Segers, Johan & Zhou, Chen, 2022. "Tail inference using extreme U-statistics," LIDAM Discussion Papers ISBA 2022014, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
- Ahmed, Hanan, 2022. "Extreme value statistics using related variables," Other publications TiSEM 246f0f13-701c-4c0d-8e09-e, Tilburg University, School of Economics and Management.
- Zhou, Chen, 2010. "The extent of the maximum likelihood estimator for the extreme value index," Journal of Multivariate Analysis, Elsevier, vol. 101(4), pages 971-983, April.
- Broderick O. Oluyede & Boikanyo Makubate & Adeniyi F. Fagbamigbe & Precious Mdlongwa, 2018. "A New Burr XII-Weibull-Logarithmic Distribution for Survival and Lifetime Data Analysis: Model, Theory and Applications," Stats, MDPI, vol. 1(1), pages 1-15, June.
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Keywords
62G05 Consistency Extreme value condition Extreme value index Maximum likelihood estimator;JEL classification:
Statistics
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