Bootstrapping the mean vector for the observations in the domain of attraction of a multivariate stable law

DOI10.1080/02331888.2017.1353515MaRDI QIDQ4639148zbMATH OpenOpenAlexFDO

Authors Maryam Sohrabi, Mahmoud Zarepour

Publication date 3 May 2018

Published in Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1510.01811

zbMATH Keywords

estimationinfinite variancemeanresampling

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric statistical resampling methods (62G09) Nonparametric tolerance and confidence regions (62G15) Nonparametric robustness (62G35)

Abstract: We consider a robust estimation of the mean vector for a sequence of i.i.d. observations in the domain of attraction of a stable law with different indices of stability, $DS(alph{a}_1,ldots,alph{a}_p)$, such that $1<alph{a}_{i}leq2$, $i=1,ldots,p$. The suggested estimator is asymptotically Gaussian with unknown parameters. We apply an asymptotically valid bootstrap to construct a confidence region for the mean vector. A simulation study is performed to show that the estimation method is efficient for conducting inference about the mean vector for multivariate heavy-tailed distributions.

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