Additional Statistics Topics

Part of the Springer Series in Operations Research and Financial Engineering book series (ORFE)


This chapter surveys some additional statistical topics and presents analysis of several data sets to illustrate the techniques. One focus is multivariate inference: We consider methods for estimating the limit measure ν and the angular measure S. These methods require statistical techniques for transforming the multivariate data to the standard case. We also consider the coefficient of tail dependence and an elaborating concept called hidden regular variation, which aid in considering models possessing asymptotic independence. Finally, we consider a standard time-series tool called the sample correlation function and discuss its properties in the case of a stationary time series with heavy-tailed marginal distribtions.


Asymptotic Normality Regular Variation Tail Dependence Angular Measure Hill Plot 
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© Springer Science+Business Media, LLC 2007

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