IDEAS home Printed from https://ideas.repec.org/p/eca/wpaper/2013-221563.html
   My bibliography  Save this paper

Multivariate extremes based on a notion of radius

Author

Listed:
  • Matias Heikkila
  • Yves Dominicy
  • Sirkku Pauliina Ilmonen

Abstract

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.

Suggested Citation

  • Matias Heikkila & Yves Dominicy & Sirkku Pauliina Ilmonen, 2015. "Multivariate extremes based on a notion of radius," Working Papers ECARES ECARES 2015-49, ULB -- Universite Libre de Bruxelles.
  • Handle: RePEc:eca:wpaper:2013/221563
    as

    Download full text from publisher

    File URL: https://dipot.ulb.ac.be/dspace/bitstream/2013/221563/3/2015-49-HEIKKILA_DOMINICY_ILMONEN-multivariate.pdf
    File Function: Full text for the whole work, or for a work part
    Download Restriction: info:eu-repo/semantics/openAccess

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    extreme value theory; hill estimator; multivariate Analysis;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. 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). General contact details of provider: http://edirc.repec.org/data/arulbbe.html .

    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.

    We have no references for this item. You can help adding them by using 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.