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math.PR2012★ 93 cited
The generalized Pareto process; with a view towards application and simulation
Ana Ferreira, Laurens de Haan
In extreme value statistics, the peaks-over-threshold method is widely used. The method is based on the generalized Pareto distribution characterizing probabilities of exceedances…
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.