30 mars 2017, 11h00–12h15
Toulouse
Salle MS 001
MAD-Stat. Seminar
Résumé
Multivariate regular variation is an important property of a multivariate probability distribution that can be very useful in extreme value statistics. Therefore it is desirable to check this property based on a multivariate random sample. We construct a hypothesis test for multivariate regular variation based on localized empirical likelihood and establish its limiting null distribution. We also investigate the finite sample performance of the test using simulated and real data. This is joint work with Andrea Krajina.