Testing the Multivariate Regular Variation Model

John H. J. Einmahl, Fan Yang and Chen Zhou ()

Journal of Business & Economic Statistics, 2021, vol. 39, issue 4, 907-919

Abstract: 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.

Date: 2021
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Citations: View citations in EconPapers (5)

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Working Paper: Testing the Multivariate Regular Variation Model (2018)
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DOI: 10.1080/07350015.2020.1737533

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