The generalized extreme value distribution

Economics Letters

Volumn 79, Issue 3, 2003, Pages 423-427

  Bali, Turan G ^a  

^a CITY UNIVERSITY OF NEW YORK   (United States)

Author keywords

Box Cox GEV distribution; Extreme value theory; Generalized extreme value distribution; Generalized Pareto distribution

Indexed keywords

EID: 0037410375     PISSN: 01651765     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0165-1765(03)00035-1     Document Type: Article

References (8)

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4. Gnedenko B.V. Sur la distribution limite du terme maximum d'une serie aleatoire Annals of Mathematics 44 1943 423-453
5. Greene W.H. Econometric Analysis 2000 Prentice Hall New Jersey
6. Gumbel E.J. Statistics of Extremes 1958 Columbia University Press New York
7. Jenkinson A.F. The frequency distribution of the annual maximum (or minimum) values of meteorological elements Quarterly Journal of the Royal Meteorology Society 87 1955 145-158
8. Pickands J. Statistical inference using extreme order statistics Annals of Statistics 3 1975 119-131