The extent of the maximum likelihood estimator for the extreme value index

Chen Zhou ()

Journal of Multivariate Analysis, 2010, vol. 101, issue 4, 971-983

Abstract: In extreme value analysis, staring from Smith (1987) [1], the maximum likelihood procedure is applied in estimating the shape parameter of tails--the extreme value index [gamma]. For its theoretical properties, Zhou (2009) [12] proved that the maximum likelihood estimator eventually exists and is consistent for [gamma]>-1 under the first order condition. The combination of Zhou (2009) [12] and Drees et al (2004) [11] provides the asymptotic normality under the second order condition for [gamma]>-1/2. This paper proves the asymptotic normality for -1

Keywords: Maximum; likelihood; Extreme; value; index; Asymptotic; normality (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (5)

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