Estimation of parameters of regularly varying distributions on convex cones

Details Estimation of parameters of regularly varying distributions on convex cones Estimation of parameters of regularly varying distributions on convex cones

2010-06-29

arxiv.org/abs/1006.5655v1

Mathematics

Probability

19 pages

Scientific paper

The objective of this paper is to extend an estimation method of parameters
of the stable distributions in $\rd$ to the regularly varying tails
distributions in an arbitrary cone. The consistency and the asymptotic
normality of estimators are proved. The sampling method of regrouping is
modified to optimize the rate of convergence of estimators.

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