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U -Statistic for Multivariate Stable Distributions
Joint Authors
Mohammadpour, Adel
Teimouri, Mahdi
Rezakhah, Saeid
Source
Journal of Probability and Statistics
Issue
Vol. 2017, Issue 2017 (31 Dec. 2017), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2017-04-03
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
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.
American Psychological Association (APA)
Teimouri, Mahdi& Rezakhah, Saeid& Mohammadpour, Adel. 2017. U -Statistic for Multivariate Stable Distributions. Journal of Probability and Statistics،Vol. 2017, no. 2017, pp.1-12.
https://search.emarefa.net/detail/BIM-1186265
Modern Language Association (MLA)
Teimouri, Mahdi…[et al.]. U -Statistic for Multivariate Stable Distributions. Journal of Probability and Statistics No. 2017 (2017), pp.1-12.
https://search.emarefa.net/detail/BIM-1186265
American Medical Association (AMA)
Teimouri, Mahdi& Rezakhah, Saeid& Mohammadpour, Adel. U -Statistic for Multivariate Stable Distributions. Journal of Probability and Statistics. 2017. Vol. 2017, no. 2017, pp.1-12.
https://search.emarefa.net/detail/BIM-1186265
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1186265