Flexible multivariate Hill estimators

DOI10.1016/J.JECONOM.2019.12.010MaRDI QIDQ2190231zbMATH OpenOpenAlexWikidataFDO

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

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)

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Cites work

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• scientific article; zbMATH DE number 1026574 (Why is no real title available?)
• A Method for Simulating Stable Random Variables
• A method for simulating stable random vectors
• Approximation of multidimensional stable densities
• Bivariate tail estimation: dependence in asymptotic independence
• Closure properties of the second-order regular variation under convolutions
• Equivariance and invariance properties of multivariate quantile and related functions, and the role of standardisation
• Multivariate Hill Estimators
• Multivariate extremes, aggregation and dependence in elliptical distributions
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• On asymptotic normality of the hill estimator
• 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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