Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

J.H.J. Einmahl, J.J.J. Segers

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Abstract

AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.
Original languageEnglish
Place of PublicationTilburg
PublisherEconometrics
Number of pages35
Volume2008-42
Publication statusPublished - 2008

Publication series

NameCentER Discussion Paper
Volume2008-42

Keywords

  • functional central limit theorem
  • local empirical process
  • moment constraint
  • multivariate extremes
  • nonparametric maximum likelihood estimator
  • tail dependence

Cite this

Einmahl, J. H. J., & Segers, J. J. J. (2008). Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution. (CentER Discussion Paper; Vol. 2008-42). Econometrics.