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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

    as
    1. Peng, L., 1998. "Asymptotically unbiased estimators for the extreme-value index," Statistics & Probability Letters, Elsevier, vol. 38(2), pages 107-115, June.
    2. 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.
    3. 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).
    4. 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.
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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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