Estimation of the Spectral Measure from ConvexCombinations of Regularly Varying RandomVectors

Marco Oesting; Olivier Wintenberger

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arXiv · 2010.03832

Estimation of the Spectral Measure from ConvexCombinations of Regularly Varying RandomVectors

Marco Oesting·Olivier Wintenberger

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Abstract

The extremal dependence structure of a regularly varying random vector Xis fully described by its limiting spectral measure. In this paper, we investigate how torecover characteristics of the measure, such as extremal coefficients, from the extremalbehaviour of convex combinations of components of X. Our considerations result in aclass of new estimators of moments of the corresponding combinations for the spectralvector. We show asymptotic normality by means of a functional limit theorem and, focusingon the estimation of extremal coefficients, we verify that the minimal asymptoticvariance can be achieved by a plug-in estimator using subsampling bootstrap. We illustratethe benefits of our approach on simulated and real data.

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Marco Oesting, Olivier Wintenberger. 2020-10-08. Estimation of the Spectral Measure from ConvexCombinations of Regularly Varying RandomVectors. https://arxiv.org/abs/2010.03832

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