High-Frequency Tail Index Estimation by Nearly Tight Frames

Claudio Durastanti; Xiaohong Lan

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arXiv · 1303.0148

High-Frequency Tail Index Estimation by Nearly Tight Frames

Claudio Durastanti·Xiaohong Lan

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Abstract

This work develops the asymptotic properties (weak consistency and Gaussianity), in the high-frequency limit, of approximate maximum likelihood estimators for the spectral parameters of Gaussian and isotropic spherical random fields. The procedure we used exploits the so-called mexican needlet construction by Geller and Mayeli in [Geller, Mayeli (2009)]. Furthermore, we propose a plug-in procedure to optimize the precision of the estimators in terms of asymptotic variance.

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Claudio Durastanti, Xiaohong Lan. 2013-03-01. High-Frequency Tail Index Estimation by Nearly Tight Frames. https://arxiv.org/abs/1303.0148

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