On tail index estimation based on multivariate data
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Publication:2811273
DOI10.1080/10485252.2015.1124105zbMATH Open1338.62150arXiv1402.0357OpenAlexW1738595936MaRDI QIDQ2811273FDOQ2811273
Authors: Antoine Dematteo, Stephan Clémençon 
Publication date: 10 June 2016
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Abstract: This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which 1-d Pareto-like marginals share the same tail index. A multivariate Central Limit Theorem for a random vector, whose components correspond to (possibly dependent) Hill estimators of the common shape index alpha, is established under mild conditions. Motivated by the statistical analysis of extremal spatial data in particular, we introduce the concept of (standard) heavy-tailed random field of tail index alpha and show how this limit result can be used in order to build an estimator of alpha with small asymptotic mean squared error, through a proper convex linear combination of the coordinates. Beyond asymptotic results, simulation experiments illustrating the relevance of the approach promoted are also presented.
Full work available at URL: https://arxiv.org/abs/1402.0357
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Cited In (12)
- A new approach on estimation of the tail index
- Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
- Tail index estimation based on survey data
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
- \(U\)-statistic for multivariate stable distributions
- Estimation of multivariate tail quantities
- Optimal weighted pooling for inference about the tail index and extreme quantiles
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- Title not available (Why is that?)
- Estimation of the tail exponent of multivariate regular variation
- On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence
- Flexible multivariate Hill estimators
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