English

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 tt 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-nn 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.

Keywords

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

R2 v1 2026-06-22T00:19:44.556Z