On estimating the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions

Mohammad Mohammadi (), Adel Mohammadpour () and Hiroaki Ogata ()

Metrika: International Journal for Theoretical and Applied Statistics, 2015, vol. 78, issue 5, 549-561

Abstract: We propose estimators for the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered. Copyright Springer-Verlag Berlin Heidelberg 2015

Keywords: Asymptotic distribution; Multivariate α-stable distribution; Spectral measure; Tail index estimation; Generalized empirical likelihood estimation; 60E07; 62H12; 62G32 (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s00184-014-0515-7

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