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Biometrika 1995 82(3):644-649; doi:10.1093/biomet/82.3.644
© 1995 by Biometrika Trust
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MISCELLANEA

Fisher information for a multivariate extreme value distribution

DAOJI SHI

Department of Mathematics, Tianjin University Tianjin 300072, China

Received for publication 1 May 1994. Revision received 1 January 1995.
  Abstract

Explicit algebraic formulae for the Fisher information matrix of the multivariate extreme value distribution with generalised extreme value margins and logistic dependence structure are given.

Key Words: Generalised extreme value distribution • Gumbel distribution • Maximum likelihood • Multivariate extreme value distribution


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