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U-statistic for multivariate stable distributions
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نویسنده
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teimouri m. ,rezakhah s. ,mohammadpour a.
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منبع
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journal of probability and statistics - 2017 - دوره : 2017 - شماره : 0
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چکیده
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A u-statistic for the tail index of a multivariate stable random vector is given as an extension of the univariate case introduced by fan (2006). asymptotic normality and consistency of the proposed u-statistic for the tail index are proved theoretically. the proposed estimator is used to estimate the spectral measure. the performance of both introduced tail index and spectral measure estimators is compared with the known estimators by comprehensive simulations and real datasets. © 2017 mahdi teimouri et al.
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آدرس
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department of statistics,faculty of mathematics and computer science,amirkabir university of technology (tehran polytechnic),424 hafez ave.,tehran, ایران, department of statistics,faculty of mathematics and computer science,amirkabir university of technology (tehran polytechnic),424 hafez ave.,tehran, ایران, department of statistics,faculty of mathematics and computer science,amirkabir university of technology (tehran polytechnic),424 hafez ave.,tehran, ایران
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Authors
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