On estimating the tail index and the spectral measure of multivariate \(\alpha\)-stable distributions

DOI10.1007/s00184-014-0515-7zbMath1315.62021OpenAlexW2471288921MaRDI QIDQ2352400

Mohammad Mohammadi, Hiroaki Ogata, Adel Mochammadpour

Publication date: 1 July 2015

Published in: Metrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00184-014-0515-7

zbMATH Keywords

asymptotic distributionspectral measuretail index estimationgeneralized empirical likelihood estimationmultivariate \(\alpha\)-stable distribution

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Estimation in multivariate analysis (62H12) Asymptotic distribution theory in statistics (62E20) Statistics of extreme values; tail inference (62G32)

Related Items (9)

The modified Yule-Walker method for \(\alpha\)-stable time series models ⋮ Principal component analysis for α-stable vectors ⋮ Estimation of the parameters of multivariate stable distributions ⋮ \(U\)-statistic for multivariate stable distributions ⋮ The modified Yule-Walker method for multidimensional infinite-variance periodic autoregressive model of order 1 ⋮ Spatio‐Temporal Dependence Measures for Bivariate AR(1) Models with α‐Stable Noise ⋮ Multivariate \(\alpha\)-stable distributions: VAR(1) processes, measures of dependence and their estimations ⋮ Estimation and simulation for multivariate tempered stable distributions ⋮ Hausdorff dimension, heavy tails, and generalization in neural networks*

Cites Work

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• Several modifications of DPR estimator of the tail index
• The method of simulated quantiles
• Estimation for multivariate stable distributions with generalized empirical likelihood
• Approximation of multidimensional stable densities
• Indirect estimation of elliptical stable distributions
• Estimating the spectral measure of a multivariate stable distribution via spherical harmonic analysis.
• Estimation of stable spectral measures
• A method for simulating stable random vectors

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