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On the maximum likelihood estimator for the generalized extreme-value distribution. (English) Zbl 1398.62056

A formal proof of the asymptotic normality of the MLE for the three-parameter generalized extreme-value distribution is given using a result on the MLE “for parametric families that are differentiable in quadratic mean but whose supports depend on the parameter.”

MSC:

62F12 Asymptotic properties of parametric estimators
60G70 Extreme value theory; extremal stochastic processes

Software:

AS 215
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References:

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