Extreme value index estimator using maximum likelihood and moment estimation

DOI10.1080/03610926.2013.861495MaRDI QIDQ5739178zbMATH OpenOpenAlexFDO

Authors Deyuan Li, Mathias Raschke, J. Hüsler

Publication date 15 July 2016

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2013.861495

zbMATH Keywords

asymptotic normal distributiondomain of attractionextreme value indexgeneralized Pareto distributionmaximum likelihood estimatormoment estimator

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)

Recommendations

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Cites work

• A moment estimator for the index of an extreme-value distribution
• A simple general approach to inference about the tail of a distribution
• Empirical likelihood confidence intervals for the endpoint of a distribution function
• Estimating tails of probability distributions
• Estimation for the generalized Pareto distribution using maximum likelihood and goodness of fit
• Estimation of the extreme-value index and generalized quantile plots
• Excess functions and estimation of the extreme-value index
• Existence and consistency of the maximum likelihood estimator for the extreme value index
• Generalizations of the Hill estimator -- asymptotic versus finite sample behaviour
• scientific article; zbMATH DE number 627762 (Why is no real title available?)
• Mixed moment estimator and location invariant alternatives
• On maximum likelihood estimation of the extreme value index.
• On Smooth Statistical Tail Functionals
• Semi-parametric tail inference through probability-weighted moments
• Some Best Parameter Estimates for Distributions with Finite Endpoint
• Statistical inference using extreme order statistics
• Tail index regression
• The extent of the maximum likelihood estimator for the extreme value index

Cited in

(13)

• Double-thresholded estimator of extreme value index
• Revisiting the maximum likelihood estimation of a positive extreme value index
• On consistency of the likelihood moment estimators for a linear process with regularly varying innovations
• Maximum likelihood estimation of extreme value index for irregular cases
• Modification of moment-based tail index estimator: sums versus maxima
• Asymptotic comparison of the mixed moment and classical extreme value index estimators
• A location-invariant probability weighted moment estimation of the Extreme Value Index
• scientific article; zbMATH DE number 5139254 (Why is no real title available?)
• A moment estimator for the conditional extreme-value index
• An estimator for the extreme-value index
• A location-invariant non-positive moment-type estimator of the extreme value index
• Asymptotic confidence intervals for extreme quantiles in a maximum domain of attraction
• Iterative estimation of the extreme value index

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