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...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Wiley
2020-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2020/5497413 |
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| _version_ | 1849403629531824128 |
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| author | Abderrahim Louzaoui Mohamed El Arrouchi |
| author_facet | Abderrahim Louzaoui Mohamed El Arrouchi |
| author_sort | Abderrahim Louzaoui |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-84fda983bb7845a489eb75267ea5bbe9 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2020-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-84fda983bb7845a489eb75267ea5bbe92025-08-20T03:37:12ZengWileyJournal of Probability and Statistics1687-952X1687-95382020-01-01202010.1155/2020/54974135497413On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record ValuesAbderrahim Louzaoui0Mohamed El Arrouchi1Ibn Tofail University, Faculty of Sciences Department of Mathematics, Kenitra, MoroccoIbn Tofail University, Faculty of Sciences Department of Mathematics, Kenitra, MoroccoIn 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.http://dx.doi.org/10.1155/2020/5497413 |
| spellingShingle | Abderrahim Louzaoui Mohamed El Arrouchi On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values Journal of Probability and Statistics |
| title | On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values |
| title_full | On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values |
| title_fullStr | On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values |
| title_full_unstemmed | On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values |
| title_short | On the Maximum Likelihood Estimation of Extreme Value Index Based on k-Record Values |
| title_sort | on the maximum likelihood estimation of extreme value index based on k record values |
| url | http://dx.doi.org/10.1155/2020/5497413 |
| work_keys_str_mv | AT abderrahimlouzaoui onthemaximumlikelihoodestimationofextremevalueindexbasedonkrecordvalues AT mohamedelarrouchi onthemaximumlikelihoodestimationofextremevalueindexbasedonkrecordvalues |