On maximum likelihood estimation of the extreme value index

• 成果类型: Article
• 署名作者: Drees, H; Ferreira, A; De Haan, L
• 署名单位: University of Hamburg; Universidade de Lisboa; Erasmus University Rotterdam - Excl Erasmus MC; Erasmus University Rotterdam
• 刊物名称: ANNALS OF APPLIED PROBABILITY
• ISSN/ISSBN: 1050-5164
• DOI: 10.1214/105051604000000279
• 发表日期: 2004
• 页码: 1179-1201
• 关键词: inference; tail

摘要

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