Uniqueness and global optimality of the maximum likelihood estimator for the generalized extreme value distribution

14 Aug 2020  ·  Zhang Likun, Shaby Benjamin ·

The three-parameter generalized extreme value distribution arises from classical univariate extreme value theory and is in common use for analyzing the far tail of observed phenomena. Curiously, important asymptotic properties of likelihood-based estimation under this standard model have yet to be established... In this paper, we formally prove that the maximum likelihood estimator is global and unique. An interesting secondary result entails the uniform consistency of a class of limit relations in a tight neighborhood of the shape parameter. read more

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Statistics Theory Methodology Statistics Theory