Likelihood-based inference for record models

DOI10.1016/J.CRMA.2017.10.001MaRDI QIDQ1677888zbMATH OpenOpenAlexFDO

Authors Anis S. Hoayek, Gilles R. Ducharme, Zaher Khraibani

Publication date 13 November 2017

Published in Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International

Full work available at URL https://doi.org/10.1016/j.crma.2017.10.001

zbMATH Keywords

time serieslinear driftestimatorsrecord sequencejoint likelihoodupper recordYang-Nevzorov

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12)

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Cites work

• Distribution-free inference in record series
• Maximum likelihood estimators in a statistical model of natural catastrophe claims with trend
• On records and related processes for sequences with trends
• On the distribution of the inter-record times in an increasing population

Cited in

(1)

• Efficiency of maximum likelihood estimators in Nevzorov's record model

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