Moment estimator for random vectors with heavy tails
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Publication:1808842
DOI10.1006/JMVA.1999.1835zbMath0951.62017OpenAlexW2130972376MaRDI QIDQ1808842
Mark M. Meerschaert, Hans-Peter Scheffler
Publication date: 27 December 2000
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/e7d1b08a2f4b923b7552a274411ebf341d8aae6f
Infinitely divisible distributions; stable distributions (60E07) Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Applications of statistics to actuarial sciences and financial mathematics (62P05)
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Operator tail dependence of copulas ⋮ Bayesian analysis of multivariate stable distributions using one-dimensional projections ⋮ Wavelet eigenvalue regression in high dimensions ⋮ Parameter estimation of selfsimilarity exponents ⋮ Estimating multivariate heavy tails and principal directions easily, with an application to international exchange rates ⋮ Wavelet eigenvalue regression for \(n\)-variate operator fractional Brownian motion ⋮ Limit laws for symmetric \(k\)-tensors of regularly varying measures
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