Trimmed Likelihood Estimation of the Parameters of the Generalized Extreme Value Distributions: a Monte-Carlo Study

2000 Mathematics Subject Classification: Primary 62F35; Secondary 62P99

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.

The work of N. Neykov and P. Neytchev is partially supported by the Ministry of Education, Science and Culture of Republic of Bulgaria, grant MM 1103/2001. Partialy supported by Pro-ENBIS GTC1 -2001-43031.