相关论文: Asymptotic properties of the maximum likelihood es…

Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…

We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.

Models with multiple change points are used in many fields; however, the theoretical properties of maximum likelihood estimators of such models have received relatively little attention. The goal of this paper is to establish the asymptotic…

Multivariate extreme-value analysis is concerned with the extremes in a multivariate random sample, that is, points of which at least some components have exceptionally large values. Mathematical theory suggests the use of max-stable models…

Maximum likelihood estimation has been extensively used in the joint analysis of repeated measurements and survival time. However, there is a lack of theoretical justification of the asymptotic properties for the maximum likelihood…

Predicting extreme events is important in many applications in risk analysis. The extreme-value theory suggests modelling extremes by max-stable distributions. The Bayesian approach provides a natural framework for statistical prediction.…

Modeling and understanding multivariate extreme events is challenging, but of great importance in various applications - e.g. in biostatistics, climatology, and finance. The separating Hill estimator can be used in estimating the extreme…

Statistical modeling of multivariate and spatial extreme events has attracted broad attention in various areas of science. Max-stable distributions and processes are the natural class of models for this purpose, and many parametric families…

We consider maximum likelihood estimation with data from a bivariate Gaussian process with a separable exponential covariance model under fixed domain asymptotic. We first characterize the equivalence of Gaussian measures under this model.…

We consider a one dimensional ballistic random walk evolving in a parametric independent and identically distributed random environment. We study the asymptotic properties of the maximum likelihood estimator of the parameter based on a…

The three-parameter generalized extreme value distribution arises from classical univariate extreme value theory and is in common use for analyzing the far tail of observed phenomena. Curiously, important asymptotic properties of…

We prove the strong consistency and the asymptotic normality of the maximum likelihood estimator of the parameters of a general conditionally heteroscedastic model with $\alpha$-stable innovations. Then, we relax the assumptions and only…

Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have…

The asymptotic normality of the maximum likelihood estimator (MLE) under regularity conditions is a cornerstone of statistical theory. In this paper, we give explicit upper bounds on the distributional distance between the distribution of…

The normality assumption on data set is very restrictive approach for modelling. The generalized form of normal distribution, named as an exponential power (EP) distribution, and its scale mixture form have been considered extensively to…

The maximum likelihood estimator (MLE) is pivotal in statistical inference, yet its application is often hindered by the absence of closed-form solutions for many models. This poses challenges in real-time computation scenarios,…

For an m-dimensional multivariate extreme value distribution there exist 2^{m}-1 exponent measures which are linked and completely characterise the dependence of the distribution and all of its lower dimensional margins. In this paper we…

Max-stable random fields play a central role in modeling extreme value phenomena. We obtain an explicit formula for the conditional probability in general max-linear models, which include a large class of max-stable random fields. As a…

The multivariate extremal index function relates the asymptotic distribution of the vector of pointwise maxima of a multivariate stationary sequence to that of the independent sequence from the same stationary distribution. It also measures…

In this paper, insight is given in the techniques used to compute asymptotic expansions. In a broad fashion the technique is described. Most of the results apply to the paper "An expansion for the maximum likelihood estimator and its…