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 language | English (US) |
|---|---|
| Pages (from-to) | 499-510 |
| Number of pages | 12 |
| Journal | Chinese Annals of Mathematics. Series B |
| Volume | 19 |
| Issue number | 4 |
| State | Published - 1998 |
Keywords
- Asymptotic normality
- Consistency
- Estimator
- Extreme value distribution
- Record