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

Hill's estimatormultivariate regular variationempirical process theorytail 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)

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Cites work

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• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 51724 (Why is no real title available?)
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• 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
• A new representation for multivariate tail probabilities
• On the estimation of the variability in the distribution tail
• Flexible multivariate Hill estimators
• Estimation of multivariate tail quantities
• Maximum likelihood estimation of elliptical tail
• Multivariate tail estimation with application to analysis of CoVaR
• On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions
• Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
• Estimation of extreme risk regions under multivariate regular variation
• Tail measures and regular variation

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