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On the Maximum Likelihood Estimation of Extreme Value Index Based on - Record Values

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  • Abderrahim Louzaoui
  • Mohamed El Arrouchi

Abstract

In this paper, we study the existence and consistency of the maximum likelihood estimator of the extreme value index based on - record values. Following the method used by Drees et al. (2004) and Zhou (2009), we prove that the likelihood equations, in terms of - record values, eventually admit a strongly consistent solution without any restriction on the extreme value index, which is not the case in the aforementioned studies.

Suggested Citation

  • Abderrahim Louzaoui & Mohamed El Arrouchi, 2020. "On the Maximum Likelihood Estimation of Extreme Value Index Based on - Record Values," Journal of Probability and Statistics, Hindawi, vol. 2020, pages 1-9, June.
    • Handle: RePEc:hin:jnljps:5497413
    DOI: 10.1155/2020/5497413
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