Maximum likelihood estimators based on the block maxima method
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Abstract: The extreme value index is a fundamental parameter in univariate Extreme Value Theory (EVT). It captures the tail behavior of a distribution and is central in the extrapolation beyond observed data. Among other semi-parametric methods (such as the popular Hill's estimator), the Block Maxima (BM) and Peaks-Over-Threshold (POT) methods are widely used for assessing the extreme value index and related normalizing constants. We provide asymptotic theory for the maximum likelihood estimators (MLE) based on the BM method. Our main result is the asymptotic normality of the MLE with a non-trivial bias depending on the extreme value index and on the so-called second order parameter. Our approach combines asymptotic expansions of the likelihood process and of the empirical quantile process of block maxima. The results permit to complete the comparison of most common semi-parametric estimators in EVT (MLE and probability weighted moment estimators based on the POT or BM methods) through their asymptotic variances, biases and optimal mean square errors.
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Cited in
(20)- Location invariant heavy tail index estimation with block method
- Improved inference on risk measures for univariate extremes
- On the block maxima method in extreme value theory: PWM estimators
- Empirical Bayes inference for the block maxima method
- Spatial dependence and space-time trend in extreme events
- Bootstrapping Extreme Value Estimators
- Inference for heavy tailed stationary time series based on sliding blocks
- Tail inference using extreme U-statistics
- Limit theorems for non-degenerate U-statistics of block maxima for time series
- On the maximum likelihood estimator for the generalized extreme-value distribution
- On the disjoint and sliding block maxima method for piecewise stationary time series
- Permutation bootstrap and the block maxima method
- Penalized quasi-maximum likelihood estimation for extreme value models with application to flood frequency analysis
- Maximum likelihood estimators based on the block maxima method
- Multiple block sizes and overlapping blocks for multivariate time series extremes
- The coupling method in extreme value theory
- Detecting distributional changes in samples of independent block maxima using probability weighted moments
- Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
- Modeling panels of extremes
- A horse race between the block maxima method and the peak-over-threshold approach
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