Estimation of the tail exponent of multivariate regular variation

Moosup Kim and Sangyeol Lee ()
Additional contact information
Moosup Kim: APEC Climate Center
Sangyeol Lee: Seoul National University

Annals of the Institute of Statistical Mathematics, 2017, vol. 69, issue 5, No 1, 945-968

Abstract: Abstract In this study, we consider the problem of estimating the tail exponent of multivariate regular variation. Since any convex combination of a random vector with a multivariate regularly varying tail has a univariate regularly varying tail with the same exponent under certain conditions, to estimate the tail exponent of the multivariate regular variation of a given random vector, we employ a weighted average of Hill’s estimators obtained for all of its convex combinations, designed to reduce the variability of estimation. We investigate the asymptotic properties and evaluate the finite sample performance of the weighted average of Hill’s estimators. A simulation study and real data analysis are provided for illustration.

Keywords: Tail exponent; Multivariate regular variation; Hill’s estimator; Empirical process theory (search for similar items in EconPapers)
Date: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10463-016-0574-9 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:spr:aistmt:v:69:y:2017:i:5:d:10.1007_s10463-016-0574-9

Ordering information: This journal article can be ordered from
http://www.springer. ... cs/journal/10463/PS2

DOI: 10.1007/s10463-016-0574-9

Access Statistics for this article

Annals of the Institute of Statistical Mathematics is currently edited by Tomoyuki Higuchi

More articles in Annals of the Institute of Statistical Mathematics from Springer, The Institute of Statistical Mathematics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().