Flexible multivariate Hill estimators

DOI10.1016/J.JECONOM.2019.12.010zbMATH Open1456.62092OpenAlexW2997734796WikidataQ126524001 ScholiaQ126524001MaRDI QIDQ2190231FDOQ2190231

Authors: Yves Dominicy, Matias Heikkilä, Pauliina Ilmonen, David Veredas 

Publication date: 18 June 2020

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2019.12.010

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zbMATH Keywords

Hill estimatortail indexextreme valuehomogeneous functionmultivariate regular variation

Mathematics Subject Classification ID

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

Cites Work

• A Method for Simulating Stable Random Variables
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• Approximation of multidimensional stable densities
• Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation
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• Multivariate extremes, aggregation and dependence in elliptical distributions
• Bivariate tail estimation: dependence in asymptotic independence
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On asymptotic normality of the hill estimator
• A method for simulating stable random vectors
• Closure properties of the second-order regular variation under convolutions
• Multivariate Hill Estimators
• On tail index estimation based on multivariate data

Cited In (2)

• Multivariate moment based extreme value index estimators
• Editorial: Nonlinear financial econometrics JoE special issue introduction

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