University of Hamburg - to research, to teach, to educate and form, to homepage
Research Information
Portal
Research Information

Photo: UHH/Schatz

Statistical inference on a changing extreme value dependence structure

External publication metrics

Data is transferred to third parties. For more information look at our Privacy statement.

2023, Journal articles: Annals of Statistics, Vol. 51, 4, 1824-1849, 26 p.

@article{a648704202fc4232a775a2c77a833fdb,
title = "Statistical inference on a changing extreme value dependence structure",
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.",
keywords = "Extreme value dependence, integrated spectral measure, local estimation, multivariate regular variation, test of nonstationarity",
author = "H. Drees",
year = "2023",
month = nov,
doi = "10.1214/23-AOS2314",
language = "English",
volume = "51",
pages = "1824--1849",
journal = "Annals of Statistics",
issn = "0090-5364",
publisher = "Institute of Mathematical Statistics",
number = "4",

}

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.

External publication metrics are inactive

With the activation, data is transferred to third parties. For more information look at our Privacy statement.