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

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doi.org/10.1214/105051604000000279, hdl.handle.net/1765/74963
Annals of Applied Probability
Erasmus School of Economics

Drees, H., Ferreira, I., & de Haan, L. (2004). On maximum likelihood estimation of the extreme value index. Annals of Applied Probability, 14(3), 1179–1201. doi:10.1214/105051604000000279