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Maximum likelihood estimation for the Frechet distribution based on block maxima extracted from a time series

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  • Bucher, Axel
  • Segers, Johan

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  • Bucher, Axel & Segers, Johan, 2015. "Maximum likelihood estimation for the Frechet distribution based on block maxima extracted from a time series," LIDAM Discussion Papers ISBA 2015023, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    • Handle: RePEc:aiz:louvad:2015023
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    References listed on IDEAS

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    1. Peng, L., 1998. "Asymptotically unbiased estimators for the extreme-value index," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 107-115, June.
    2. Holger Drees, 1998. "On Smooth Statistical Tail Functionals," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 25(1), pages 187-210, March.
    3. Balakrishnan, N. & Kateri, M., 2008. "On the maximum likelihood estimation of parameters of Weibull distribution based on complete and censored data," Statistics & Probability Letters, Elsevier, vol. 78(17), pages 2971-2975, December.
    4. Bucher, Axel & Segers, Johan, 2014. "Extreme value copula estimation based on block maxima of a multivariate stationary time series," LIDAM Reprints ISBA 2014019, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
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    Cited by:

    1. Bucher, Axel & Segers, Johan, 2016. "On the Maximum Likelihood Estimator for the Generalized Extreme-Value Distribution," LIDAM Discussion Papers ISBA 2016003, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).

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