Testing the multivariate regular variation model

John Einmahl, Fan Yang, Chen Zhou

Research output: Contribution to journalArticleScientificpeer-review

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 extreme value indices in different directions 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
JournalJournal of Business & Economic Statistics
DOIs
Publication statusE-pub ahead of print - Mar 2020

Keywords

  • extreme value statistics
  • Hill estimator
  • local empirical process

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