Efficient inference about the tail weight in multivariate Student t distributions

DOI10.1016/J.JSPI.2015.05.004MaRDI QIDQ897633zbMATH OpenOpenAlexFDO

Authors Christophe Ley, Anouk Neven

Publication date 7 December 2015

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1305.4792

zbMATH Keywords

likelihood ratio testlocal asymptotic normalityStudent \(t\) distributionefficient testing procedurestail weight

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Hypothesis testing in multivariate analysis (62H15)

Abstract: We propose a new testing procedure about the tail weight parameter of multivariate Student $t$ distributions by having recourse to the Le Cam methodology. Our test is asymptotically as efficient as the classical likelihood ratio test, but outperforms the latter by its flexibility and simplicity: indeed, our approach allows to estimate the location and scatter nuisance parameters by any root-$n$ consistent estimators, hereby avoiding numerically complex maximum likelihood estimation. The finite-sample properties of our test are analyzed in a Monte Carlo simulation study, and we apply our method on a financial data set. We conclude the paper by indicating how to use this framework for efficient point estimation.

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Cited in

(3)

• Some Inferential Problems from Log Student’s T-distribution and its Multivariate Extension
• Consistency factor for the MCD estimator at the Student-\(t\) distribution
• A new multivariate t distribution with variant tail weights and its application in robust regression analysis

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