On maximum likelihood estimation of the extreme value index

被引：86

作者：

Drees, H

Ferreira, A

De Haan, L

机构：

[1] Univ Hamburg, SPST, Fac Math, D-20146 Hamburg, Germany

[2] EURANDOM, Eindhoven, Netherlands

[3] Univ Tecn Lisboa, Dept Math, P-1349017 Lisbon, Portugal

[4] Erasmus Univ, Sch Econ, NL-3000 DR Rotterdam, Netherlands

来源：

ANNALS OF APPLIED PROBABILITY | 2004年 / 14卷 / 03期

关键词：

asymptotic normality; exceedances; extreme value index; maximum likelihood; order statistics; second-order condition;

D O I：

10.1214/105051604000000279

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.

引用

页码：1179 / 1201

页数：23

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