Title: Testing the multivariate regular variation model
Authors: Fan Yang - University of Waterloo (Canada)
Chen Zhou - Erasmus University Rotterdam (Netherlands)
John Einmahl - Tilburg University (Netherlands)
Chen Zhou - Erasmus University Rotterdam (Netherlands) [presenting]
Abstract: A test for the multivariate regular variation model is proposed. The approach is based on testing whether the extreme value indices of the radial component conditional on the angular component falling in different subsets are at the same level. 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 datasets used in previous studies that are assumed to follow the multivariate regular variation model.