Fixed Point Iteration for Estimating The Parameters of Extreme Value Distributions
Computation
2009-02-03 v1 Methodology
Abstract
Maximum likelihood estimations for the parameters of extreme value distributions are discussed in this paper using fixed point iteration. The commonly used numerical approach for addressing this problem is the Newton-Raphson approach which requires differentiation unlike the fixed point iteration which is also easier to implement. Graphical approaches are also usually proposed in the literature. We prove that these reduce in fact to the fixed point solution proposed in this paper.
Cite
@article{arxiv.0902.0117,
title = {Fixed Point Iteration for Estimating The Parameters of Extreme Value Distributions},
author = {Tewfik Kernane and Zohrh A. Raizah},
journal= {arXiv preprint arXiv:0902.0117},
year = {2009}
}