Empirical likelihood based testing for multivariate regular variation
Multivariate regular variation is a common assumption in the statistics literature and needs to be verified in real-data applications. We develop a novel hypothesis test for multivariate regular variation, employing localized empirical likelihood. We establish the weak convergence of the test statistic to a nonstandard, distribution-free limit and hence can provide universal critical values for the test. We show the very good finite-sample behavior of the procedure through simulations and apply the test to several real-data examples.
Authors
- Andrea Krajina
- J.H.J. Einmahl (ORCID: https://orcid.org/0000-0001-9009-6891)
- Juan‐Juan Cai (ORCID: https://orcid.org/0000-0002-3788-8125)
Institutions
- University of Göttingen (DE)
- Vrije Universiteit Amsterdam (NL)
Publication Details
- Journal
- The Annals of Statistics
- Published
- 2025-02-01
- DOI
- https://doi.org/10.1214/24-aos2472
- Citations
- 4
- Primary Topic
- Statistical Distribution Estimation and Applications
- Type
- article
- Field-Weighted Citation Impact
- 2.63