Estimation of the spectral measure of multivariate regularly varying distributions
Statistics Theory
2010-09-22 v1 Statistics Theory
Abstract
In the paper, the estimator for the spectral measure of multivariate stable distributions introduced by Davydov and co-workers are extended to the regularly varying distributions. The sampling method is modified to optimize the rate of convergence of estimator. An estimator of the total mass of spectral measure is proposed. The consistency and the asymptotic normality of estimators are proved.
Keywords
Cite
@article{arxiv.1009.4070,
title = {Estimation of the spectral measure of multivariate regularly varying distributions},
author = {Shuyan Liu},
journal= {arXiv preprint arXiv:1009.4070},
year = {2010}
}
Comments
23 pages, 3 figures