U-Statistic for Multivariate Stable Distributions
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 t...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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Wiley
2017-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2017/3483827 |
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| _version_ | 1832562556161490944 |
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| author | Mahdi Teimouri Saeid Rezakhah Adel Mohammadpour |
| author_facet | Mahdi Teimouri Saeid Rezakhah Adel Mohammadpour |
| author_sort | Mahdi Teimouri |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-b6d1f5cb9d4645c0a9db479599fd22a5 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2017-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-b6d1f5cb9d4645c0a9db479599fd22a52025-02-03T01:22:19ZengWileyJournal of Probability and Statistics1687-952X1687-95382017-01-01201710.1155/2017/34838273483827U-Statistic for Multivariate Stable DistributionsMahdi Teimouri0Saeid Rezakhah1Adel Mohammadpour2Department of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), 424 Hafez Ave., Tehran 15914, IranDepartment of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), 424 Hafez Ave., Tehran 15914, IranDepartment of Statistics, Faculty of Mathematics and Computer Science, Amirkabir University of Technology (Tehran Polytechnic), 424 Hafez Ave., Tehran 15914, IranA 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.http://dx.doi.org/10.1155/2017/3483827 |
| spellingShingle | Mahdi Teimouri Saeid Rezakhah Adel Mohammadpour U-Statistic for Multivariate Stable Distributions Journal of Probability and Statistics |
| title | U-Statistic for Multivariate Stable Distributions |
| title_full | U-Statistic for Multivariate Stable Distributions |
| title_fullStr | U-Statistic for Multivariate Stable Distributions |
| title_full_unstemmed | U-Statistic for Multivariate Stable Distributions |
| title_short | U-Statistic for Multivariate Stable Distributions |
| title_sort | u statistic for multivariate stable distributions |
| url | http://dx.doi.org/10.1155/2017/3483827 |
| work_keys_str_mv | AT mahditeimouri ustatisticformultivariatestabledistributions AT saeidrezakhah ustatisticformultivariatestabledistributions AT adelmohammadpour ustatisticformultivariatestabledistributions |