Estimating extreme-value index from records

Research output: Contribution to journalArticle

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Abstract

This paper constructs from the record values an estimator of the extreme-value index. It is proved that the estimator is consistent in the domain of attraction of extreme-value distributions, and that under very mild conditions the estimator is asymptotically normal.

Original languageEnglish (US)
Pages (from-to)499-510
Number of pages12
JournalChinese Annals of Mathematics. Series B
Volume19
Issue number4
StatePublished - Dec 1 1998

Keywords

  • Asymptotic normality
  • Consistency
  • Estimator
  • Extreme value distribution
  • Record

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