On maximum likelihood estimation of the extreme value index

2004/07/05 by Holger Drees, Ana Ferreira, Laurens de Haan · 1 citation
Business, Management and Accounting · Decision Sciences · Economics, Econometrics and Finance · Mathematics · #Financial Risk and Volatility Modeling #Organizational Management and Leadership #Risk and Portfolio Optimization #math.PR #msc:62G20. #msc:62G32

paper · pdf · doi:10.1214/105051604000000279

published as Annals of Applied Probability 2004, Vol. 14, No. 3, 1179-1201

arxiv created 2004/07/05 · openalex publication_date 2004/07/13 · arxiv updated 2009/12/01 · openalex created_date 2016/06/24 · openalex updated_date 2026/07/30

Abstract

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

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• Accurate Bayesian inference for tail risk extrapolation in time series

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