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- Title
U-Statistic for Multivariate Stable Distributions.
- Authors
Teimouri, Mahdi; Rezakhah, Saeid; Mohammadpour, Adel
- Abstract
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.
- Subjects
DISTRIBUTION (Probability theory); MULTIVARIATE analysis; UNIVARIATE analysis; ESTIMATION theory; STATISTICS
- Publication
Journal of Probability & Statistics, 2017, p1
- ISSN
1687-952X
- Publication type
Article
- DOI
10.1155/2017/3483827