Testing the Multivariate Regular Variation Model
提出一种检验多元正则变化模型的方法，通过比较不同角度下径向分量的极值指数是否一致，并结合径向分量的正则变化检验，模拟和实际数据验证了方法的有效性。
In this article, we propose a test for the multivariate regular variation (MRV) model. The test is based on testing whether the extreme value indices of the radial component conditional on the angular component falling in different subsets are the same. Combining the test on the constancy across extreme value indices in different directions with testing the regular variation of the radial component, we obtain the test for testing MRV. Simulation studies demonstrate the good performance of the proposed tests. We apply this test to examine two datasets used in previous studies that are assumed to follow the MRV model.