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 language||English (US)|
|Number of pages||12|
|Journal||Chinese Annals of Mathematics. Series B|
|State||Published - Dec 1 1998|
- Asymptotic normality
- Extreme value distribution