On tail index estimation based on multivariate data
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Publication:2811273
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.
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Cited in
(12)- \(U\)-statistic for multivariate stable distributions
- On some characterizations and multidimensional criteria for testing homogeneity, symmetry and independence
- Flexible multivariate Hill estimators
- scientific article; zbMATH DE number 5147265 (Why is no real title available?)
- Estimation of multivariate tail quantities
- A new approach on estimation of the tail index
- Tail index estimation based on survey data
- ON TAIL INDEX ESTIMATION FOR DEPENDENT, HETEROGENEOUS DATA
- Optimal weighted pooling for inference about the tail index and extreme quantiles
- Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates
- Estimation of the tail exponent of multivariate regular variation
- On a relationship between randomly and non-randomly thresholded empirical average excesses for heavy tails
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