On maximum likelihood estimation of the extreme value index
Probability
2007-05-23 v1
Abstract
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.
Cite
@article{arxiv.math/0407062,
title = {On maximum likelihood estimation of the extreme value index},
author = {Holger Drees and Ana Ferreira and Laurens de Haan},
journal= {arXiv preprint arXiv:math/0407062},
year = {2007}
}
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