On maximum likelihood estimation of the extreme value index

H. Drees; A. Ferreira; L. Haan, de

doi:10.1214/105051604000000279

On maximum likelihood estimation of the extreme value index

H. Drees
, A. Ferreira
, L. Haan, de

Eurandom

Research output: Contribution to journal › Article › Academic › peer-review

103 Citations (Scopus)

180 Downloads (Pure)

Abstract

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

Original language	English
Pages (from-to)	1179-1201
Journal	The Annals of Probability
Volume	14
Issue number	3
DOIs	https://doi.org/10.1214/105051604000000279
Publication status	Published - 2004

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title = "On maximum likelihood estimation of the extreme value index",

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

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AU - Ferreira, A.

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DO - 10.1214/105051604000000279

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JO - The Annals of Probability

JF - The Annals of Probability

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On maximum likelihood estimation of the extreme value index

Abstract

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