Fixed Point Iteration for Estimating The Parameters of Extreme Value Distributions

Tewfik Kernane (1) , Zohrh A. Raizah (1)

1 Department of Mathematics

Maximum likelihood estimations for the parameters of extreme value distributions are discussed in this paper 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 paper.

Mots clés: Extreme value distributions; Maximum likelihood estimation; Censored data; Fixed point iteration

Domaines: Calcul [stat.CO]; Méthodologie [stat.ME]

Tewfik Kernane, Zohrh A. Raizah. Fixed Point Iteration for Estimating The Parameters of Extreme Value Distributions. Communications in Statistics - Simulation and Computation, 2009, 38 (10), pp.2161-2170. ⟨10.1080/03610910903259642⟩. ⟨hal-00357632⟩