On the maximum likelihood estimation of extreme value index based on \(k\)-record values (Q2193450): Difference between revisions

Summary: In this paper, we study the existence and consistency of the maximum likelihood estimator of the extreme value index based on \(k\)-record values. Following the method used by \textit{H. Drees} et al. [Ann. Appl. Probab. 14, No. 3, 1179--1201 (2004; Zbl 1102.62051)] and \textit{C. Zhou} [J. Multivariate Anal. 100, No. 4, 794--815 (2009; Zbl 1169.62038)], we prove that the likelihood equations, in terms of \(k\)-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.