On multivariate separating Hill estimator under estimated location and scatter

DOI10.1080/02331888.2018.1548016zbMath1418.62217OpenAlexW2901976283MaRDI QIDQ4632274

Yves Dominicy, Pauliina Ilmonen, Matias Heikkilä

Publication date: 29 April 2019

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: https://aaltodoc.aalto.fi/handle/123456789/37507

zbMATH Keywords

extreme value indexelliptical distributionmultivariate extreme value theory

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Cites Work

• Bridging centrality and extremity: refining empirical data depth using extreme value statistics
• Laws of large numbers for sums of extreme values
• A simple general approach to inference about the tail of a distribution
• Asymptotics for the minimum covariance determinant estimator
• Semi‐Parametric Models for the Multivariate Tail Dependence Function – the Asymptotically Dependent Case
• Empirical properties of asset returns: stylized facts and statistical issues
• Multivariate Hill Estimators
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