Testing the Multivariate Regular Variation Model
In this article, we propose a test for the multivariate regular variation (MRV) 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 MRV. Simulation studies demonstrate the good performance of the proposed tests. We apply this test to examine two datasets used in previous studies that are assumed to follow the MRV model.
|Extreme value statistics, Hill estimator, Local empirical process|
|Journal of Business and Economic Statistics|
|Organisation||Department of Econometrics|
Einmahl, J.H.J, Yang, F, & Zhou, C. (2020). Testing the Multivariate Regular Variation Model. Journal of Business and Economic Statistics. doi:10.1080/07350015.2020.1737533