On maximum likelihood estimation of the extreme value index

Authors
Drees, Holger Ferreira, Ana Haan, Laurens de
Citation
Drees, Holger et al., On maximum likelihood estimation of the extreme value index, Annals of applied probability , 14(3), 2004, pp. 1179-1201
Journal title
Annals of applied probability → ACNP
ISSN journal
10505164
Volume
14
Issue
3
Year of publication
2004
Pages
1179 - 1201
Database
ACNP
SICI code
Abstract
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.