On maximum likelihood estimation of the extreme value index

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

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Probability, 62G32 (Primary) 62G20. (Secondary)

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http://salesiana.dossiersoluciones.com/handle/123456789/71775

Consulte el texto completo en el siguiente enlace:

https://arxiv.org/abs/math/0407062
 http://arxiv.org/abs/math/0407062
 Annals of Applied Probability 2004, Vol. 14, No. 3, 1179-1201
 doi:10.1214/105051604000000279

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arXiv