Estimation of parameters of regularly varying distributions on convex cones
Probability
2013-02-15 v1
Abstract
The objective of this paper is to extend an estimation method of parameters of the stable distributions in to the regularly varying tails distributions in an arbitrary cone. The consistency and the asymptotic normality of estimators are proved. The sampling method of regrouping is modified to optimize the rate of convergence of estimators.
Keywords
Cite
@article{arxiv.1006.5655,
title = {Estimation of parameters of regularly varying distributions on convex cones},
author = {Youri Davydov and Shuyan Liu},
journal= {arXiv preprint arXiv:1006.5655},
year = {2013}
}
Comments
19 pages