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Activity Number: 108 - Multivariate Extremes: Theory and Applications
Type: Invited
Date/Time: Monday, July 29, 2019 : 8:30 AM to 10:20 AM
Sponsor: Section on Risk Analysis
Abstract #300619
Title: Testing the Multivariate Regular Variation Model
Author(s): Chen Zhou*
Companies: Erasmus University Rotterdam
Keywords: Extreme value statistics; Hill estimator; local empirical process

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.

Authors who are presenting talks have a * after their name.

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