On the Maximum Likelihood Estimation of Extreme Value Index Based on - Record Values

Abderrahim Louzaoui and Mohamed El Arrouchi

Journal of Probability and Statistics, 2020, vol. 2020, 1-9

Abstract:

In this paper, we study the existence and consistency of the maximum likelihood estimator of the extreme value index based on - record values. Following the method used by Drees et al. (2004) and Zhou (2009), we prove that the likelihood equations, in terms of - record values, eventually admit a strongly consistent solution without any restriction on the extreme value index, which is not the case in the aforementioned studies.

Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:hin:jnljps:5497413

DOI: 10.1155/2020/5497413

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