Estimation of the tail exponent of multivariate regular variation

DOI10.1007/S10463-016-0574-9MaRDI QIDQ1680794zbMATH OpenOpenAlexFDO

Authors Moosup Kim, Sangyeol Lee

Publication date 16 November 2017

Published in Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10463-016-0574-9

zbMATH Keywords

empirical process theoryHill's estimatormultivariate regular variationtail exponent

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Review text

It is well known that the extreme behavior of multivariate observations can be characterized by a spectral measure and a tail exponent. The estimation of this latter quantity is considered here, which is grounded on the fact that every convex combination of a random vector having a multivariate regularly varying tail also has a univariate regularly varying tail with the same exponent (under certain conditions). Specifically, the proposed estimator of the tail exponent is obtained from a weighted average of Hill's estimators obtained for all convex combinations of the given random vector. The asymptotic properties of this estimator together with its finite sample performance are considered. An illustration with financial data concludes the manuscript.

Recommendations

• On tail index estimation based on multivariate data
• On estimating the tail index and the spectral measure of multivariate -stable distributions
• Multivariate tail estimation with application to analysis of CoVaR
• Estimation of extreme risk regions under multivariate regular variation
• An M-estimator for tail dependence in arbitrary dimensions

Cites work

• A simple general approach to inference about the tail of a distribution
• Adaptive estimates of parameters of regular variation
• Estimating a tail exponent by modelling departure from a Pareto distribution
• How to make a Hill plot.
• scientific article; zbMATH DE number 3866301 (Why is no real title available?)
• scientific article; zbMATH DE number 3824949 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• On optimal portfolio diversification with respect to extreme risks
• On tail index estimation based on multivariate data
• SLOW VARIATION WITH REMAINDER: THEORY AND APPLICATIONS
• Tail Index Estimation for Heavy-Tailed Models: Accommodation of Bias in Weighted Log-Excesses
• The efficiency of the estimators of the parameters in GARCH processes.
• Using a bootstrap method to choose the sample fraction in tail index estimation
• Weak convergence and empirical processes. With applications to statistics

Cited in

(11)

• \(U\)-statistic for multivariate stable distributions
• On the estimation of the variability in the distribution tail
• Tail measures and regular variation
• Flexible multivariate Hill estimators
• On estimating the tail index and the spectral measure of multivariate -stable distributions
• A new representation for multivariate tail probabilities
• Multivariate tail estimation with application to analysis of CoVaR
• Estimation of multivariate tail quantities
• Estimation of extreme risk regions under multivariate regular variation
• Maximum likelihood estimation of elliptical tail
• Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates

This page was built for publication: Estimation of the tail exponent of multivariate regular variation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1680794)