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Pré-Publication, Document De Travail Année : 2010

Estimation of the spectral measure of multivariate regularly varying distributions

Résumé

In the paper, the estimator for the spectral measure of multivariate stable distributions introduced by Davydov and co-workers are extended to the regularly varying distributions. The sampling method is modified to optimize the rate of convergence of estimator. An estimator of the total mass of spectral measure is proposed. The consistency and the asymptotic normality of estimators are proved.

Dates et versions

hal-00520022 , version 1 (22-09-2010)

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Citer

Shuyan Liu. Estimation of the spectral measure of multivariate regularly varying distributions. 2010. ⟨hal-00520022⟩
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