The extent of the maximum likelihood estimator for the extreme value index

In extreme value analysis, staring from Smith (1987) [1], the maximum likelihood procedure is applied in estimating the shape parameter of tails-the extreme value index @c. For its theoretical properties, Zhou (2009) [12] proved that the maximum likelihood estimator eventually exists and is consistent for @c>-1 under the first order condition. The combination of Zhou (2009) [12] and Drees et al (2004) [11] provides the asymptotic normality under the second order condition for @c>-1/2. This paper proves the asymptotic normality for -1<@[email protected]?-1/2 and the non-consistency for @c<-1. These results close the discussion on the theoretical properties of the maximum likelihood estimator.

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