Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework

DOI10.3150/13-BEJ573MaRDI QIDQ2345127zbMATH OpenFDO

Authors Clément Dombry

Publication date 19 May 2015

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1301.5611, https://projecteuclid.org/euclid.bj/1426597076

zbMATH Keywords

consistencyextreme value indexmaximum likelihood estimatorblock maxima method

Mathematics Subject Classification ID

Point estimation (62F10) Order statistics; empirical distribution functions (62G30)

Abstract: The maximum likelihood method offers a standard way to estimate the three parameters of a generalized extreme value (GEV) distribution. Combined with the block maxima method, it is often used in practice to assess the extreme value index and normalization constants of a distribution satisfying a first order extreme value condition, assuming implicitely that the block maxima are exactly GEV distributed. This is unsatisfactory since the GEV distribution is a good approximation of the block maxima distribution only for blocks of large size. The purpose of this paper is to provide a theoretical basis for this methodology. Under a first order extreme value condition only, we prove the existence and consistency of the maximum likelihood estimators for the extreme value index and normalization constants within the framework of the block maxima method.

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Cited in

(25)

• Modeling maxima with autoregressive conditional Fréchet model
• On the block maxima method in extreme value theory: PWM estimators
• Empirical Bayes inference for the block maxima method
• Inference for heavy tailed stationary time series based on sliding blocks
• Likelihood Inference for Multivariate Extreme Value Distributions Whose Spectral Vectors have known Conditional Distributions
• Limit theorems for non-degenerate U-statistics of block maxima for time series
• On the maximum likelihood estimator for the generalized extreme-value distribution
• Strong convergence of multivariate maxima
• On the disjoint and sliding block maxima method for piecewise stationary time series
• Existence and consistency of the maximum likelihood estimator for the extreme value index
• 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 extent of the maximum likelihood estimator for the extreme value index
• Risk Analysis via Generalized Pareto Distributions
• A likelihood for correlated extreme series
• A note on statistical tests for homogeneities in multivariate extreme value models for block maxima
• On second order conditions in the multivariate block maxima and peak over threshold method
• Reference Priors for the Generalized Extreme Value Distribution
• Predicting the Tail Behavior of Financial Times Stock Exchange/Johannesburg Stock Exchange (FTSE/JSE) Closing Banking Indices: Extreme Value Theory Approach
• Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
• Extremal Random Forests
• Modeling panels of extremes
• A horse race between the block maxima method and the peak-over-threshold approach
• Consistency of Bayesian inference for multivariate max-stable distributions

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• AS 215

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