Statistical inference on a changing extreme value dependence structure

DOI10.1214/23-AOS2314MaRDI QIDQ6183760zbMATH OpenOpenAlexFDO

Authors Holger Drees

Publication date 4 January 2024

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2201.06389, https://projecteuclid.org/journals/annals-of-statistics/volume-51/issue-4/Statistical-inference-on-a-changing-extreme-value-dependence-structure/10.1214/23-AOS2314.full

zbMATH Keywords

extreme value dependenceintegrated spectral measurelocal estimationmultivariate regular variationtest of nonstationarity

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Nonparametric estimation (62G05) Nonparametric hypothesis testing (62G10) Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32)

Abstract: We analyze the extreme value dependence of independent, not necessarily identically distributed multivariate regularly varying random vectors. More specifically, we propose estimators of the spectral measure locally at some time point and of the spectral measures integrated over time. The uniform asymptotic normality of these estimators is proved under suitable nonparametric smoothness and regularity assumptions. We then use the process convergence of the integrated spectral measure to devise consistent tests for the null hypothesis that the spectral measure does not change over time. The finite sample performance of these tests is investigated in Monte Carlo simulations.

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Cited in

(1)

• Simulation of multivariate extremes: a Wasserstein-Aitchison GAN approach

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