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AS 215

Algorithm AS 215. Maximum-likelihood estimation of the parameters of the generalized extreme-value distribution.

Keywords for this software

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  • generalized extreme-value distribution
  • extreme value index
  • return period
  • Maximum likelihood estimation
  • matrix algebra
  • regression analysis
  • graphics
  • Fréchet
  • differentiability in quadratic mean
  • Hydrology
  • steels
  • variance analysis
  • asymptotic efficiency
  • order statistics
  • GEV distribution
  • distributions
  • estimation of parameters
  • probability-weighted moment
  • beta distribution
  • computer programs
  • optimal B-robust estimates
  • probability-weighted moment estimates
  • hypothesis testing
  • diagrams
  • Shape parameter
  • maximum likelihood estimation
  • Weibull
  • L-moment estimation
  • Penalized likelihood
  • experimental design

  • URL: www.jstor.org/stable/2...
  • InternetArchive
  • Authors: J. R. M. Hosking

  • Add information on this software.


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References in zbMATH (referenced in 10 articles )

Showing results 1 to 10 of 10.
y Sorted by year (citations)

  1. Béranger, B.; Duong, T.; Perkins-Kirkpatrick, S. E.; Sisson, S. A.: Tail density estimation for exploratory data analysis using kernel methods (2019)
  2. Bücher, Axel; Segers, Johan: On the maximum likelihood estimator for the generalized extreme-value distribution (2017)
  3. Dombry, Clément: Existence and consistency of the maximum likelihood estimators for the extreme value index within the block maxima framework (2015)
  4. Liu, Jian; Xiao, Jihong; Yan, Lizhao; Wen, Fenghua: Valuing catastrophe bonds involving credit risks (2014)
  5. Schmiedt, A. B.; Dickert, H. H.; Bleck, W.; Kamps, U.: Multivariate extreme value analysis and its relevance in a metallographical application (2014)
  6. Yoon, Seonkyoo; Cho, Woncheol; Heo, Jun-Haeng; Kim, Chul Eung: A full Bayesian approach to generalized maximum likelihood estimation of generalized extreme value distribution (2010)
  7. Zhang, Jin: Likelihood moment estimation for the generalized Pareto distribution (2007)
  8. Park, Jeong-Soo: A simulation-based hyperparameter selection for quantile estimation of the generalized extreme value distribution (2005)
  9. Dupuis, D. J.; Field, C. A.: Robust estimation of extremes (1998)
  10. Martynov, G. V.: Probabilistic-statistical programs from “Applied Statistics” (1990)

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  • MSC classification / top
    • Top MSC classes
      • 60 Probability theory and...
      • 62 Statistics
      • 65 Numerical analysis
      • 86 Geophysics
      • 91 Game theory, economics,...

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    • 2010 - today
    • 2005 - 2009
    • 2000 - 2004
    • before 2000

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