Multivariate Moment Based Extreme Value Index Estimators
Modeling extreme events is of paramount importance in various areas ofscience — biostatistics, climatology, finance, geology, and telecommunications, toname a few. Most of these application areas involve multivariate data. Estimationof the extreme value index plays a crucial role in modeling rare events. There isan affine invariant multivariate generalization of the well known Hill estimator—theseparating Hill estimator. However, the Hill estimator is only suitable for heavy taileddistributions. As in the case of the separating multivariate Hill estimator, we considerestimation of the extreme value index under the assumption of multivariate ellipticity.We provide affine invariant multivariate generalizations of the moment estimator andthe mixed moment estimator. These estimators are suitable for both: light and heavytailed distributions. Asymptotic properties of the new extreme value index estimatorsare derived under multivariate elliptical distribution with known location and scatter.The effect of replacing true location and scatter by estimates is examined in a thoroughsimulation study.
|Date of creation:||Nov 2015|
|Publication status:||Published by:|
|Contact details of provider:|| Postal: Av. F.D., Roosevelt, 39, 1050 Bruxelles|
Phone: (32 2) 650 30 75
Fax: (32 2) 650 44 75
Web page: http://difusion.ulb.ac.be
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:eca:wpaper:2013/220551. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Benoit Pauwels)
If references are entirely missing, you can add them using this form.