Strong Consistency and Asymptotic Normality of the Maximum Likelihood Estimator in $r$-Largest Generalized Extreme-Value Models

Abstract: We study maximum likelihood estimation in the three-parameter $r$-largest generalized extreme-value ($r$GEV) model with a fixed number $r$ of upper order statistics per block. Because the support depends on all three parameters, the classical regular theory does not apply. We show that the maximum likelihood estimator is strongly consistent on compact parameter sets contained in $k<1$, where $k=-γ$ denotes the shape parameter. For $k_0<1/2$, the range in which the model is differentiable in quadratic mean, the estimator is root-$n$ consistent, asymptotically normal and asymptotically efficient. The proof verifies the conditions of the moving-support likelihood theorem of Bücher and Segers for the ordered $r$-dimensional likelihood; the main new ingredients are a sequential modified likelihood criterion and a support-loss bound showing that the regularity threshold $k_0<1/2$ does not depend on $r$. In simulated heavy-tailed cases with only $50$ blocks, using five to seven order statistics instead of the block maximum reduces the relative bias of the 100-year return level from $6$--$13\%$ to below $5\%$.