Generalized extreme value distribution maximum likelihood estimation trimmed likelihood estimation Monte-Carlo simulation
Issue Date:
2005
Publisher:
Institute of Mathematics and Informatics Bulgarian Academy of Sciences
Citation:
Pliska Studia Mathematica Bulgarica, Vol. 17, No 1, (2005), 187p-200p
Abstract:
The applicability of the Trimmed Likelihood Estimator (TLE) proposed by Neykov and Neytchev to the extreme value distributions is considered. The effectiveness of the TLE in comparison with the classical MLE in the presence of outliers in various scenarios is illustrated by an extended simulation study. The FAST-TLE algorithm developed by Neykov Müller is used to get the parameter estimate. The computations are carried out in the R environment using the packages ismev originally developed by Coles and ported in R by Stephenson.
