\(U\)-statistic for multivariate stable distributions (Q1658072): Difference between revisions

Summary: A \(U\)-statistic for the tail index of a multivariate stable random vector is given as an extension of the univariate case introduced by \textit{Z. Fan} [Commun. Stat., Theory Methods 35, No. 1--3, 245--255 (2006; Zbl 1084.62019)]. Asymptotic normality and consistency of the proposed \(U\)-statistic for the tail index are proved theoretically. The proposed estimator is used to estimate the spectral measure. The performance of both introduced tail index and spectral measure estimators is compared with the known estimators by comprehensive simulations and real datasets.