Absorption and photoluminescence spectra of Tm3+ and Ho3+ ions in LiYF4 crystals have been investigated at various temperatures between 10 and 320 K. The photoluminescence is investigated under excitation with Xe-lamp and laser diode. In addition to blue up-converted emission of Tm3+ and Ho3+ and green up-converted Ho3+ emission, anti-Stokes emission bands are observed at 687 and 703 nm under excitation in the 3H4 state of Tm3+ with 785 nm laser diode. These bands are observed above 200 K, and their intensities increase exponentially with increasing temperature. They are attributed to endothermic Tm3+ emission due to the transition to the 3H6 ground state from the upper 3F3 state which is thermally populated from the 3H4 state. Discussion is given on the optical process of green up-converted Ho3+ emission which is generated by the 785 nm laser diode excitation.