On estimating the tail index and the spectral measure of multivariate α-stable distributions

On estimating the tail index and the spectral measure of multivariate α-stable distributions

We propose estimators for the tail index and the spectral measure of multivariate α -stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered.

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Veröffentlicht in:Metrika 2015-11, Vol.78 (5), p.549-561
Hauptverfasser: Mohammadi, Mohammad, Mohammadpour, Adel, Ogata, Hiroaki
Format: Artikel
Sprache:eng
Schlagworte:
Economic Theory/Quantitative Economics/Mathematical Methods
Mathematics and Statistics
Probability Theory and Stochastic Processes
Statistics
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Beschreibung
Zusammenfassung:We propose estimators for the tail index and the spectral measure of multivariate α -stable distributions and derive their asymptotic properties. Simulation studies reveal the appropriateness of the estimators. Applications to financial data are also considered.
ISSN:0026-1335
1435-926X
DOI:10.1007/s00184-014-0515-7