We propose two classes of semi-parametric estimators for the tail index of a regular varying elliptical random vector. The first one is based on the distance between a tail probability contour and the observations outside this contour. We denote it as the class of separating estimators. The...

Modeling extreme events is of paramount importance in various areas of science — biostatistics, climatology, finance, geology, and telecommunications, to name a few. Most of these application areas involve multivariate data. Estimation of the extreme value index plays a crucial role in...