Statistics – Methodology
Scientific paper
2012-04-16
Statistics
Methodology
18 pages, 8 figures
Scientific paper
The spectral measure plays a key role in the statistical modeling of multivariate extremes. Estimation of the spectral measure is a complex issue, given the need to obey a certain moment condition. We propose a Euclidean likelihood-based estimator for the spectral measure which is simple and explicitly defined, with its expression being free of Lagrange multipliers. Our estimator is shown to have the same limit distribution as the maximum empirical likelihood estimator of J. H. J. Einmahl and J. Segers, Annals of Statistics 37(5B), 2953--2989 (2009). Numerical experiments suggest an overall good performance and identical behavior to the maximum empirical likelihood estimator. We illustrate the method in an extreme temperature data analysis.
Carvalho Miguel de
Oumow Boris
Segers Johan
Warchoł Michał
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