Authors: Bücher, Axel
Segers, Johan
Title: Maximum likelihood estimation for the Fréchet distribution based on block maxima extracted from a time series
Language (ISO): en
Abstract: The block maxima method in extreme-value analysis proceeds by fitting an extreme-value distribution to a sample of block maxima extracted from an observed stretch of a time series. The method is usually validated under two simplifying assumptions: the block maxima should be distributed according to an extreme-value distribution and the sample of block maxima should be independent. Both assumptions are only approximately true. For general triangular arrays of block maxima attracted to the Frechet distribution, consistency and asymptotic normality is established for the maximum likelihood estimator of the parameters of the limiting Frechet distribution. The results are specialized to the setting of block maxima extracted from a strictly stationary time series. The case where the underlying random variables are independent and identically distributed is further worked out in detail. The results are illustrated by theoretical examples and Monte Carlo simulations.
Subject Headings: block maxima method
stationary time series
triangular arrays
heavy tails
asymptotic normality
maximum likelihood estimation
URI: http://hdl.handle.net/2003/34385
http://dx.doi.org/10.17877/DE290R-16457
Issue Date: 2015
Appears in Collections:Sonderforschungsbereich (SFB) 823

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