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Journal of Statistical Computation and Simulation Volume 16, 1983 - Issue 3-4
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Original Articles

Maximum likeiihood estimation of the parameters of the three-parameter generalized extreme-value distribution from censored samples

P. Prescott Faculty of Mathematical Studies, :University of Southampton,
&
A.T. Walden Department of Civil Engineering, :University of Southampton,
Pages 241-250 | Received 27 Apr 1982, Published online: 20 Mar 2007
 
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Abstract

Maximum likelihood estimators of the parameters of the generalized extreme-value distribution are derived for complete, left censored, right censored or doubly censored samples. Explicit expressions are provided for the observed information matrix which forms the basis of the iterative procedure described. It is shown that the inveise of this information matrix evaluated at the maximum likelihood estimates provides a better estimate of the variance-covanance matrix of the estimators than the expected information matrix.

†Now at Geophysics Research Branch, British Petroleum Co. Ltd. Britannic House. Moor Lane, London EC2Y 9BU.

†Now at Geophysics Research Branch, British Petroleum Co. Ltd. Britannic House. Moor Lane, London EC2Y 9BU.

Notes

†Now at Geophysics Research Branch, British Petroleum Co. Ltd. Britannic House. Moor Lane, London EC2Y 9BU.

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