AS 215

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

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References in zbMATH (referenced in 10 articles )

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  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)