Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

John Einmahl and J.J.J. Segers
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J.J.J. Segers: Tilburg University, Center For Economic Research

No 2008-42, Discussion Paper from Tilburg University, Center for Economic Research

Keywords: functional central limit theorem; local empirical process; moment constraint; multivariate extremes; nonparametric maximum likelihood estimator; tail dependence (search for similar items in EconPapers)
Date: 2008
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Related works:
Working Paper: Maximum empirical likelihood estimation of the spectral measure of an extreme-value distribution (2009)
Working Paper: Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution (2008)
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