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

Onderzoeksoutput: Bijdrage aan tijdschrift › Tijdschriftartikel › Academic › peer review

101 Citaten (Scopus)

154 Downloads (Pure)

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

Originele taal-2	Engels
Pagina's (van-tot)	1179-1201
Tijdschrift	The Annals of Probability
Volume	14
Nummer van het tijdschrift	3
DOI's	https://doi.org/10.1214/105051604000000279
Status	Gepubliceerd - 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.",

author = "H. Drees and A. Ferreira and \{Haan, de\}, L.",

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AU - Drees, H.

AU - Ferreira, A.

AU - Haan, de, L.

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N2 - We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.

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

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DO - 10.1214/105051604000000279

M3 - Article

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JO - The Annals of Probability

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On maximum likelihood estimation of the extreme value index

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