Sparse simulation-based estimator built on quantiles

The method of simulated quantiles is extended to a general multivariate framework and to provide sparse estimation of the scaling matrix. The method is based on the minimisation of a distance between appropriate statistics evaluated on the true and synthetic data simulated from the postulated model. Those statistics are functions of the quantiles providing an effective way to deal with distributions that do not admit moments of any order like the α–Stable or the Tukey lambda distribution. The lack of a natural ordering represents the major challenge for the extension of the method to the multivariate framework, which is addressed by considering the notion of projectional quantile. The SCAD ℓ1–penalty is then introduced in order to achieve sparse estimation of the scaling matrix which is mostly responsible for the curse of dimensionality. The asymptotic properties of the proposed estimator have been discussed and the method is illustrated and tested on several synthetic datasets simulated from the Elliptical Stable distribution for which alternative methods are recognised to perform poorly.