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Testing the Multivariate Regular Variation Model

John Einmahl, Fan Yang and Chen Zhou

No 2018-044, Discussion Paper from Tilburg University, Center for Economic Research

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.

Keywords: extreme value statistics; Hill estimator; local empirical process (search for similar items in EconPapers)
JEL-codes: C12 C14 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm
Date: 2018
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