Title :

Estimation of parameters of regularly varying distributions on convex cones

Author(s) :

Davydov, Youri [Auteur]
Laboratoire Paul Painlevé - UMR 8524 [LPP]
Liu, Shuyan [Auteur]
Institut de Statistique, Biostatistique et Sciences Actuarielles (ISBA)

English keyword(s) :

regularly varying distributions
estimation of parameters
stable distributions
spectral measure

HAL domain(s) :

Mathématiques [math]/Probabilités [math.PR]
Mathématiques [math]/Statistiques [math.ST]
Statistiques [stat]/Théorie [stat.TH]

English abstract : [en]

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 ...
Show more >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.Show less >

Language :

Anglais

Comment :

19 pages

Collections :

• Laboratoire Paul Painlevé - UMR 8524

Source :

Harvested from HAL