Inference for heavy-tailed data with Gaussian dependence
Abstract
We consider a model for multivariate data with heavy-tailed marginal distributions and a Gaussian dependence structure. The different marginals in the model are allowed to have non-identical tail behavior in contrast to most popular modeling paradigms for multivariate heavy-tail analysis. Despite being a practical choice, results on parameter estimation and inference under such models remain limited. In this article, consistent estimates for both marginal tail indices and the Gaussian correlation parameters for such models are provided and asymptotic normality of these estimators are established. The efficacy of the estimation methods are exhibited using extensive simulations and then they are applied to real data sets from insurance claims, internet traffic, and, online networks.
Cite
@article{arxiv.2305.05520,
title = {Inference for heavy-tailed data with Gaussian dependence},
author = {Bikramjit Das},
journal= {arXiv preprint arXiv:2305.05520},
year = {2023}
}
Comments
26 pages, 7 figures, 1 table. Textual modifications primarily in the introduction and conclusion, some simulated plots were updated. All results remain same as first version