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Multivariate extremes based on a notion of radius

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  • 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
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    References listed on IDEAS

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    1. Masaaki Sibuya, 1959. "Bivariate extreme statistics, I," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 11(2), pages 195-210, June.
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    Keywords

    extreme value theory; hill estimator; multivariate Analysis;
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