EXTREME VALUE THEORY WITH OPERATOR NORMING.

作者信息

Meerschaert Mark M, Scheffler Hans-Peter, Stoev Stilian A

机构信息

Department of Statistics & Probability, Michigan State University, East Lansing MI 48824 USA. URL: http://www.stt.msu.edu/users/mcubed/

Fachbereich Mathematik, Universität Siegen, 57068 Siegen, Germany, URL: http://www.uni-siegen.de/fb6/src/scheffler/

出版信息

Extremes (Boston). 2013 Dec 1;16(4):407-428. doi: 10.1007/s10687-012-0166-x.

DOI:10.1007/s10687-012-0166-x

PMID:24443640

原文链接:https://pmc.ncbi.nlm.nih.gov/articles/PMC3892951/

Abstract

A new approach to extreme value theory is presented for vector data with heavy tails. The tail index is allowed to vary with direction, where the directions are not necessarily along the coordinate axes. Basic asymptotic theory is developed, using operator regular variation and extremal integrals. A test is proposed to judge whether the tail index varies with direction in any given data set.

摘要