Journal
METRIKA
Volume 78, Issue 5, Pages 549-561Publisher
SPRINGER HEIDELBERG
DOI: 10.1007/s00184-014-0515-7
Keywords
Asymptotic distribution; Multivariate alpha-stable distribution; Spectral measure; Tail index estimation; Generalized empirical likelihood estimation
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Funding
- JSPS KAKENHI [26870655]
- Grants-in-Aid for Scientific Research [26870655] Funding Source: KAKEN
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We propose estimators for the tail index and the spectral measure of multivariate -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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