U -Statistic for Multivariate Stable Distributions

A U-statistic for the tail index of a multivariate stable random vector is given as an extension of the univariate case introduced by Fan (2006). Asymptotic normality and consistency of the proposed U-statistic for the tail index are proved theoretically. The proposed estimator is used to estimate t...

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Bibliographic Details
Published in:Journal of probability and statistics 2017-01, Vol.2017 (2017), p.1-12
Main Authors: Teimouri, Mahdi, Mohammadpour, Adel, Rezakhah, Saeid
Format: Article
Language:English
Subjects:
Consistency
Economic models
Estimates
Estimators
Methods
Performance indices
Rivers
Simulation
Spectra
Statistics
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Summary:A U-statistic for the tail index of a multivariate stable random vector is given as an extension of the univariate case introduced by Fan (2006). Asymptotic normality and consistency of the proposed U-statistic for the tail index are proved theoretically. The proposed estimator is used to estimate the spectral measure. The performance of both introduced tail index and spectral measure estimators is compared with the known estimators by comprehensive simulations and real datasets.
ISSN:1687-952X
1687-9538
DOI:10.1155/2017/3483827