Improving the bias of a pseudo-maximum likelihood estimate of the extreme value index by k-records

Abstract

Abstract The paper focusses on the estimation of the extreme value index in terms of k-records based on a maximum likelihood approach, which is suggested recently by Louzaoui and El Arrouchi (J Probab Stat, 2020). Its asymptotic normality is well investigated in order to propose a bias correction while ensuring that the new estimator becomes asymptotically unbiased and still normal. Some numerical studies are also provided in order to show how the proposed estimators behave in practice.

Keywords

• Extreme value index
• k-Record values
• Maximum likelihood estimation
• Second order condition
• Asymptotic normality
• Bias correction