Testing the Multivariate Regular Variation Model

A-Tier
Journal: Journal of Business & Economic Statistics
Year: 2021
Volume: 39
Issue: 4
Pages: 907-919

Authors (3)

John H. J. Einmahl (not in RePEc) Fan Yang (not in RePEc) Chen Zhou (Erasmus Universiteit Rotterdam)

Score contribution per author:

1.341 = (α=2.01 / 3 authors) × 2.0x A-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

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.

Technical Details

RePEc Handle
repec:taf:jnlbes:v:39:y:2021:i:4:p:907-919
Journal Field
Econometrics
Author Count
3
Added to Database
2026-01-29