On maximum likelihood estimation of the extreme value index
Drees, Holger ; Ferreira, Ana ; de Haan, Laurens
Ann. Appl. Probab., Tome 14 (2004) no. 1, p. 1179-1201 / Harvested from Project Euclid
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We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.
Publié le : 2004-08-14
Classification:  Asymptotic normality,  exceedances,  extreme value index,  maximum likelihood,  order statistics,  second-order condition,  62G32,  62G20 
@article{1089736282,
     author = {Drees, Holger and Ferreira, Ana and de Haan, Laurens},
     title = {On maximum likelihood estimation of the extreme value index},
     journal = {Ann. Appl. Probab.},
     volume = {14},
     number = {1},
     year = {2004},
     pages = { 1179-1201},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1089736282}
}

Drees, Holger; Ferreira, Ana; de Haan, Laurens. On maximum likelihood estimation of the extreme value index. Ann. Appl. Probab., Tome 14 (2004) no. 1, pp.  1179-1201. http://gdmltest.u-ga.fr/item/1089736282/