IDEAS home Printed from
MyIDEAS: Log in (now much improved!) to save this paper

Multivariate extremes based on a notion of radius

Listed author(s):
  • Matias Heikkila
  • Yves Dominicy
  • Sirkku Pauliina Ilmonen
Registered author(s):

    Modeling and understanding multivariate extreme events is challenging, but of great importance invarious applications— e.g. in biostatistics, climatology, and finance. The separating Hill estimator canbe used in estimating the extreme value index of a heavy tailed multivariate elliptical distribution. Weconsider the asymptotic behavior of the separating Hill estimator under estimated location and scatter.The asymptotic properties of the separating Hill estimator are known under elliptical distribution withknown location and scatter. However, the effect of estimation of the location and scatter has previouslybeen examined only in a simulation study. We show, analytically, that the separating Hill estimator isconsistent and asymptotically normal under estimated location and scatter, when certain mild conditionsare met.

    If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

    File URL:
    File Function: Full text for the whole work, or for a work part
    Download Restriction: no

    Paper provided by ULB -- Universite Libre de Bruxelles in its series Working Papers ECARES with number ECARES 2015-49.

    in new window

    Length: 15 p.
    Date of creation: Dec 2015
    Publication status: Published by:
    Handle: RePEc:eca:wpaper:2013/221563
    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:

    More information through EDIRC

    No references listed on IDEAS
    You can help add them by filling out this form.

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    When requesting a correction, please mention this item's handle: RePEc:eca:wpaper:2013/221563. 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 you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.