Likelihood-based inference for extreme value model

DOI10.1023/A:1009905222644MaRDI QIDQ1979087zbMATH OpenOpenAlexFDO

Authors Mark K. Dixon, Stuart Coles

Publication date 24 May 2000

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1009905222644

zbMATH Keywords

penalized maximum likelihoodprobability weighted momentsgeneralized extreme value distributionslinear trend estimator

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Hydrology, hydrography, oceanography (86A05)

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Cited in

(34)

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• Fast parameter estimation of generalized extreme value distribution using neural networks
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• Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
• Comparison of different estimation methods for extreme value distribution
• Return level bounds for discrete and continuous random variables
• Smooth tail-index estimation
• Likelihood estimators for multivariate extremes
• Detecting a conditional extreme value model
• Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis
• Improved return level estimation via a weighted likelihood, latent spatial extremes model
• Probability weighted moments properties for small samples
• Understanding and Addressing the Unbounded “Likelihood” Problem
• On the Analysis of Grouped Extreme Value Data with GLIM of Fixed Source
• Bias and size corrections in extreme value modeling
• Improving probability-weighted moment methods for the generalized extreme value distribu\-tion
• Parameter estimation of the generalized Pareto distribution. I
• The maximum earthquake in future \(T\) years: checking by a real catalog
• Likelihood-Based Procedures for Threshold Diagnostics and Uncertainty in Extreme Value Modelling
• Practical extreme value modelling of hydrological floods and droughts: a case study
• Extreme Value Theory and Statistics of Univariate Extremes: A Review
• Penalized likelihood approach for the four-parameter kappa distribution
• Maximum likelihood estimation of extreme value index for irregular cases
• A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution
• Linear Regression with Extreme Value Residuals
• Inference and Optimal Design Based on Step—Partially Accelerated Life Tests for the Generalized Pareto Distribution under Progressive Type-I Censoring
• Beta-\(\kappa \) distribution and its application to hydrologic events
• On the use of the peaks over thresholds method for estimating out-of-sample quantiles.
• Trend in high tropospheric ozone levels. Application to paris monitoring sites
• A new look at probability-weighted moments estimators

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