Approximate MLEs for the location and scale parameters of the extreme value distribution with censoring

Abstract

For the extreme value distribution, the maximum likelihood method does not provide explicit estimators for the location and scale parameters. A method of deriving explicit estimators by approximating the likelihood function is provided. The authors derive the asymptotic variances, covariance, and conditional bias of these estimators, and show that they are almost as efficient as the maximum likelihood estimators and just as efficient as the best linear unbiased and the best linear invariant estimators. Two examples illustrate this method of estimation.< <ETX xmlns:mml="http://www.w3.org/1998/Math/MathML" xmlns:xlink="http://www.w3.org/1999/xlink">&gt;</ETX>