On Asymptotic Properties of the Separating Hill Estimator

Matias Heikkilä; Yves Dominicy; Pauliina Ilmonen

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arXiv · 1511.08627

On Asymptotic Properties of the Separating Hill Estimator

Matias Heikkilä·Yves Dominicy·Pauliina Ilmonen

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Abstract

Modeling and understanding multivariate extreme events is challenging, but of great importance in various applications - e.g. in biostatistics, climatology, and finance. The separating Hill estimator can be used in estimating the extreme value index of a heavy tailed multivariate elliptical distribution. We consider the asymptotic behavior of the separating Hill estimator under estimated location and scatter. The asymptotic properties of the separating Hill estimator are known under elliptical distribution with known location and scatter. However, the effect of estimation of the location and scatter has previously been examined only in a simulation study. We show, analytically, that the separating Hill estimator is consistent and asymptotically normal under estimated location and scatter, when certain mild conditions are met.

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Matias Heikkilä, Yves Dominicy, Pauliina Ilmonen. 2016-01-12. On Asymptotic Properties of the Separating Hill Estimator. https://arxiv.org/abs/1511.08627

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