Seminar

Empirical likelihood based testing for multivariate regular variation

John Einmahl (Tilburg University)

March 30, 2017, 11:00–12:15

Toulouse

Room MS 001

MAD-Stat. Seminar

Abstract

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.