Multivariate moment based extreme value index estimators

DOI10.1007/s00180-016-0706-yzbMath1417.62124OpenAlexW2193629901MaRDI QIDQ1695426

Pauliina Ilmonen, Matias Heikkilä, Yves Dominicy

Publication date: 7 February 2018

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/220551/3/2015-42-HEIKKILA_DOMINICY_ILMONEN-multivariate.pdf

zbMATH Keywords

moment estimatorelliptical distributionmixed moment estimator

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Order statistics; empirical distribution functions (62G30)

Cites Work

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• Mixed moment estimator and location invariant alternatives
• A moment estimator for the index of an extreme-value distribution
• On asymptotic normality of Hill's estimator for the exponent of regular variation
• Laws of large numbers for sums of extreme values
• A simple general approach to inference about the tail of a distribution
• Flexible multivariate Hill estimators
• Inference for vast dimensional elliptical distributions
• Tail Index Estimation for a Filtered Dependent Time Series
• Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances
• Multivariate extremes, aggregation and dependence in elliptical distributions

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