2004-08-01
On maximum likelihood estimation of the extreme value index
Publication
Publication
Annals of Applied Probability , Volume 14 - Issue 3 p. 1179- 1201
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 | |
Organisation | 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 |