Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework
By Clément Dombry. 2015
52 citations recorded by the source corpus.
Subfields: Finance, Global and Planetary Change, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/a7c32d11fb433f862c2bbea06a4557042185472d
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Finance
- Axel Bucher
- Chen Zhou
- Johan Segers
- Clément Dombry
- A. C. Davison
- Ana Ferreira
- Raphaël Huser
- Mathieu Ribatet
In Global and Planetary Change
- Axel Bucher
- Ana Ferreira
- Chen Zhou
- Clément Dombry
- Johan Segers
- A. C. Davison
- Raphaël Huser
- Mathieu Ribatet
In Statistics and Probability
- Axel Bucher
- Chen Zhou
- Johan Segers
- Ana Ferreira
- Clément Dombry
- A. C. Davison
- Jean-David Fermanian
- Raphaël Huser
Citations in the corpus
- On the maximum likelihood estimator for the Generalized Extreme-Value distribution (2016, methodology): “As argued by Dombry (2015), it is not guaranteed that the log-likelihood attains a unique, global maximum.”
- Maximum likelihood estimators based on the block maxima method (2017, background): “The conditions in Proposition 2.1 are sufficient for consistency of MLE, see Dombry [7].”
- A Horse Race between the Block Maxima Method and the Peak–over–Threshold Approach (2018, background): “Due to some recent advances on theoretic properties of BM estimators (Dombry, 2015; Ferreira and de Haan, 2015; Bücher and Segers, 2014, 2018b; Dombry and Ferreira, 2017), the two approaches may actually be compared on solid theoretical grounds.”