On maximum likelihood estimation of the extreme value index

Details On maximum likelihood estimation of the extreme value index On maximum likelihood estimation of the extreme value index

2004-07-05

arxiv.org/abs/math/0407062v1

Annals of Applied Probability 2004, Vol. 14, No. 3, 1179-1201

Mathematics

Probability

Scientific paper

10.1214/105051604000000279

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

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