Maximum likelihood estimation of elliptical tail

Moosup Kim and Sangyeol Lee

Journal of Multivariate Analysis, 2025, vol. 205, issue C

Abstract: This study is focused on the efficient estimation of the elliptical tail. Initially, we derive the density function of the spectral measure of an elliptical distribution concerning a dominating measure on the unit sphere, which consequently leads to the density function of the elliptical tail. Subsequently, we propose a maximum likelihood estimation based on the derived density function class. The resulting maximum likelihood estimator (MLE) is proven to be consistent and asymptotically normal. Moreover, it is demonstrated that the MLE is asymptotically efficient, with the added advantage that its asymptotic covariance matrix can be feasibly estimated at a low computational cost. A simulation study and real data analysis are conducted to illustrate the efficacy of the proposed method.

Keywords: Consistency and efficiency; Elliptical distribution; Elliptical tail estimation; Maximum likelihood estimation; Multivariate regular variation; Spectral measure (search for similar items in EconPapers)
Date: 2025
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DOI: 10.1016/j.jmva.2024.105382

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