Inference for vast dimensional elliptical distributions

Yves Dominicy, Hiroaki Ogata () and David Veredas ()

Computational Statistics, 2013, vol. 28, issue 4, 1853-1880

Abstract: We propose a quantile–based method to estimate the parameters of an elliptical distribution, and a battery of tests for model adequacy. The method is suitable for vast dimensions as the estimators for location and dispersion have closed–form expressions, while estimation of the tail index boils down to univariate optimizations. The tests for model adequacy are for the null hypothesis of correct specification of one or several level contours. A Monte Carlo study to three distributions (Gaussian, Student–t and elliptical stable) for dimensions 20, 200 and 2000 reveals the goodness of the method, both in terms of computational time and finite samples. An empirical application to financial data illustrates the method. Copyright Springer-Verlag Berlin Heidelberg 2013

Keywords: Quantiles; Elliptical family; Simulations; Heavy tails (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:compst:v:28:y:2013:i:4:p:1853-1880

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DOI: 10.1007/s00180-012-0384-3

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