Testing the Multivariate Regular Variation Model

John Einmahl, Fan Yang, Chen Zhou

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Abstract

In this paper, we propose a test for the multivariate regular variation model. The
test is based on testing whether the extreme value indices of the radial component
conditional on the angular component falling in different subsets are the same. Combining the test on the constancy across different conditional extreme value indices with testing the regular variation of the radial component, we obtain the test for testing multivariate regular variation. Simulation studies demonstrate the good performance of the proposed tests. We apply this test to examine two data sets used in previous studies that are assumed to follow the multivariate regular variation model.
Original languageEnglish
Place of PublicationTilburg
PublisherCentER, Center for Economic Research
Number of pages25
Volume2018-044
Publication statusPublished - 29 Oct 2018

Publication series

NameCentER Discussion Paper
Volume2018-044

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Keywords

  • extreme value statistics
  • Hill estimator
  • local empirical process

Cite this

Einmahl, J., Yang, F., & Zhou, C. (2018). Testing the Multivariate Regular Variation Model. (CentER Discussion Paper; Vol. 2018-044). Tilburg: CentER, Center for Economic Research.