Asymptotic properties for a general extreme-value regression model

In this thesis we introduce a general extreme-value regression model and derive Cox and Snell's (1968) general formulae for second-order biases of maximum likelihood estimates (MLEs) of the parameters. We present formulae which can be computed by means of weighted linear regressions. Furthermore, we give the skewness of order n^{-1/2} of the MLEs of the parameters by using Bowman and Shenton's (1998) formula. Special cases of this model and a simulation study with results obtained with use of Cox and Snell's (1968) formulae are presented. A practical use of this model and of the derived formulae for bias correction is also presented.