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.

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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
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article

Empirical likelihood based testing for multivariate regular variation

Andrea Krajina, J.H.J. Einmahl, Juan‐Juan Cai
4 citations
The Annals of Statistics
Statistical Distribution Estimation and Applications
2.63
article

Empirical likelihood based testing for multivariate regular variation

Andrea Krajina, J.H.J. Einmahl, Juan‐Juan Cai
article en
4 citations

Abstract

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.

The Annals of StatisticsVol. 53(1)
University of Göttingen (DE), Vrije Universiteit Amsterdam (NL)
Openalex Percentile: Top 14%
Statistical Distribution Estimation and Applications
2.63
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