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Fixed Point Iteration for Estimating the Parameters of Extreme Value Distributions
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Fixed Point Iteration for Estimating the Parameters of Extreme Value Distributions

Tewfik Kernane and Zohrh A. Raizah
Communications in statistics. Simulation and computation, Vol.38(10), pp.2161-2170
01/11/2009

Abstract

Mathematics Physical Sciences Science & Technology Statistics & Probability
Maximum likelihood estimations for the parameters of extreme value distributions are discussed in this article using fixed point iteration. The commonly used numerical approach for addressing this problem is the Newton-Raphson approach which requires differentiation unlike the fixed point iteration which is also easier to implement. Graphical approaches are also usually proposed in the literature. We prove that these reduce in fact to the fixed point solution proposed in this article.

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