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

J.H.J. Einmahl; J.J.J. Segers

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 language	English
Place of Publication	Tilburg
Publisher	Econometrics
Number of pages	35
Volume	2008-42
Publication status	Published - 2008

Publication series

Name	CentER Discussion Paper
Volume	2008-42

Keywords

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

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2008-42

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title = "Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution",

abstract = "AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.",

keywords = "functional central limit theorem, local empirical process, moment constraint, multivariate extremes, nonparametric maximum likelihood estimator, tail dependence",

author = "J.H.J. Einmahl and J.J.J. Segers",

note = "Subsequently published in Annals of Statistics, 2009 Pagination: 35",

year = "2008",

language = "English",

volume = "2008-42",

series = "CentER Discussion Paper",

publisher = "Econometrics",

type = "WorkingPaper",

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TY - UNPB

T1 - Maximum Empirical Likelihood Estimation of the Spectral Measure of an Extreme Value Distribution

AU - Einmahl, J.H.J.

AU - Segers, J.J.J.

N1 - Subsequently published in Annals of Statistics, 2009 Pagination: 35

PY - 2008

Y1 - 2008

N2 - AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.

AB - AMS 2000 subject classifications: Primary 62G05, 62G30, 62G32; secondary 60G70, 60F05, 60F17, JEL: C13, C14.

KW - functional central limit theorem

KW - local empirical process

KW - moment constraint

KW - multivariate extremes

KW - nonparametric maximum likelihood estimator

KW - tail dependence

M3 - Discussion paper

VL - 2008-42

T3 - CentER Discussion Paper

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

PB - Econometrics

CY - Tilburg

ER -

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

Abstract

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