Efficient inference about the tail weight in multivariate Student $t$ distributions
Methodology
2014-04-10 v3 Statistics Theory
Statistics Theory
Abstract
We propose a new testing procedure about the tail weight parameter of multivariate Student distributions by having recourse to the Le Cam methodology. Our test is asymptotically as efficient as the classical likelihood ratio test, but outperforms the latter by its flexibility and simplicity: indeed, our approach allows to estimate the location and scatter nuisance parameters by any root- consistent estimators, hereby avoiding numerically complex maximum likelihood estimation. The finite-sample properties of our test are analyzed in a Monte Carlo simulation study, and we apply our method on a financial data set. We conclude the paper by indicating how to use this framework for efficient point estimation.
Cite
@article{arxiv.1305.4792,
title = {Efficient inference about the tail weight in multivariate Student $t$ distributions},
author = {Christophe Ley and Anouk Neven},
journal= {arXiv preprint arXiv:1305.4792},
year = {2014}
}
Comments
23 pages