{"title":"椭圆尾部的最大似然估计","authors":"Moosup Kim , Sangyeol Lee","doi":"10.1016/j.jmva.2024.105382","DOIUrl":null,"url":null,"abstract":"<div><div>This study is focused on the efficient estimation of the elliptical tail. Initially, we derive the density function of the spectral measure of an elliptical distribution concerning a dominating measure on the unit sphere, which consequently leads to the density function of the elliptical tail. Subsequently, we propose a maximum likelihood estimation based on the derived density function class. The resulting maximum likelihood estimator (MLE) is proven to be consistent and asymptotically normal. Moreover, it is demonstrated that the MLE is asymptotically efficient, with the added advantage that its asymptotic covariance matrix can be feasibly estimated at a low computational cost. A simulation study and real data analysis are conducted to illustrate the efficacy of the proposed method.</div></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"205 ","pages":"Article 105382"},"PeriodicalIF":1.4000,"publicationDate":"2024-11-10","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Maximum likelihood estimation of elliptical tail\",\"authors\":\"Moosup Kim , Sangyeol Lee\",\"doi\":\"10.1016/j.jmva.2024.105382\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><div>This study is focused on the efficient estimation of the elliptical tail. Initially, we derive the density function of the spectral measure of an elliptical distribution concerning a dominating measure on the unit sphere, which consequently leads to the density function of the elliptical tail. Subsequently, we propose a maximum likelihood estimation based on the derived density function class. The resulting maximum likelihood estimator (MLE) is proven to be consistent and asymptotically normal. Moreover, it is demonstrated that the MLE is asymptotically efficient, with the added advantage that its asymptotic covariance matrix can be feasibly estimated at a low computational cost. A simulation study and real data analysis are conducted to illustrate the efficacy of the proposed method.</div></div>\",\"PeriodicalId\":16431,\"journal\":{\"name\":\"Journal of Multivariate Analysis\",\"volume\":\"205 \",\"pages\":\"Article 105382\"},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2024-11-10\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Journal of Multivariate Analysis\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S0047259X24000897\",\"RegionNum\":3,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q2\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Journal of Multivariate Analysis","FirstCategoryId":"100","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S0047259X24000897","RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q2","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
This study is focused on the efficient estimation of the elliptical tail. Initially, we derive the density function of the spectral measure of an elliptical distribution concerning a dominating measure on the unit sphere, which consequently leads to the density function of the elliptical tail. Subsequently, we propose a maximum likelihood estimation based on the derived density function class. The resulting maximum likelihood estimator (MLE) is proven to be consistent and asymptotically normal. Moreover, it is demonstrated that the MLE is asymptotically efficient, with the added advantage that its asymptotic covariance matrix can be feasibly estimated at a low computational cost. A simulation study and real data analysis are conducted to illustrate the efficacy of the proposed method.
期刊介绍:
Founded in 1971, the Journal of Multivariate Analysis (JMVA) is the central venue for the publication of new, relevant methodology and particularly innovative applications pertaining to the analysis and interpretation of multidimensional data.
The journal welcomes contributions to all aspects of multivariate data analysis and modeling, including cluster analysis, discriminant analysis, factor analysis, and multidimensional continuous or discrete distribution theory. Topics of current interest include, but are not limited to, inferential aspects of
Copula modeling
Functional data analysis
Graphical modeling
High-dimensional data analysis
Image analysis
Multivariate extreme-value theory
Sparse modeling
Spatial statistics.