Estimation of the spectral measure of multivariate regularly varying distributions

Details Estimation of the spectral measure of multivariate regularly varying distributions Estimation of the spectral measure of multivariate regularly varying distributions

2010-09-21

arxiv.org/abs/1009.4070v1

Mathematics

Statistics Theory

23 pages, 3 figures

Scientific paper

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.

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