On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values
In this paper, we study the existence and consistency of the maximum likelihood estimator of the extreme value index based on k-record values. Following the method used by Drees et al. (2004) and Zhou (2009), we prove that the likelihood equations, in terms of k-record values, eventually admit a str...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Wiley
2020-01-01
|
| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2020/5497413 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Summary: | In this paper, we study the existence and consistency of the maximum likelihood estimator of the extreme value index based on k-record values. Following the method used by Drees et al. (2004) and Zhou (2009), we prove that the likelihood equations, in terms of k-record values, eventually admit a strongly consistent solution without any restriction on the extreme value index, which is not the case in the aforementioned studies. |
|---|---|
| ISSN: | 1687-952X 1687-9538 |