101 citations · 101 across the 1 of their papers we have counts for
2 papers
math.ST2007
Some aspects of extreme value theory under serial dependence
Holger Drees
On the occasion of Laurens de Haan's 70th birthday, we discuss two aspects of the statistical inference on the extreme value behavior of time series with a particular emphasis on h…
math.PR2004★ 101 cited
On maximum likelihood estimation of the extreme value index
Holger Drees, Ana Ferreira, Laurens de Haan
We prove asymptotic normality of the so-called maximum likelihood estimator of the extreme value index.