We consider a semiparametric multivariate location-scatter model where the standardized random vector of the model is fixed using simultaneously two location vectors and two scatter matrices. The approach using location and scatter functionals based on the first four moments serves as our main...

In this paper, we consider the independent component (IC) model, and the asymptotic properties of the complex valued unmixing matrix estimates that are based on simultaneous use of two scatter matrix functionals.

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 and understanding multivariate extreme events is challenging, but of great importance in various applications — e.g. in biostatistics, climatology, and finance. The separating Hill estimator can be used in estimating the extreme value index of a heavy tailed multivariate elliptical...

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...

Several recent papers treated robust and efficient estimation of tail index parameters for (equivalent) Pareto and truncated exponential models, for large and small samples...