Estimation of the tail exponent of multivariate regular variation

DOI10.1007/s10463-016-0574-9zbMath1384.62162OpenAlexW2505705170MaRDI QIDQ1680794

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

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

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