Title: Estimation of the spectral measure from convex combinations of jointly regularly varying random variables
Authors: Marco Oesting - University of Siegen (Germany) [presenting]
Olivier Wintenberger - Sorbonne University (France)
Abstract: The extremal dependence structure of a regularly varying random vector $X$ is fully described by its limiting spectral measure. We investigate how to recover characteristics of the measure, such as extremal coefficients, from the extremal behaviour of convex combinations of components of $X$. Our considerations result in a class of new estimators of moments of the corresponding combinations for the spectral vector. We show asymptotic normality and discuss the optimization of the asymptotic variance.