变化极值依赖结构的统计推断

IF 3.2 1区 数学 Q1 STATISTICS & PROBABILITY Annals of Statistics Pub Date : 2023-08-01 DOI:10.1214/23-aos2314
Holger Drees
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引用次数: 2

摘要

我们分析了独立的、不一定同分布的多变量正则变随机向量的极值相关性。更具体地说,我们提出了在某个时间点的局部光谱测度和随时间集成的光谱测度的估计。在适当的非参数光滑性和正则性假设下,证明了这些估计量的一致渐近正态性。然后,我们使用集成光谱测量的过程收敛性来设计零假设的一致检验,即光谱测量不随时间变化。
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Statistical inference on a changing extreme value dependence structure
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.
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来源期刊
Annals of Statistics
Annals of Statistics 数学-统计学与概率论
CiteScore
9.30
自引率
8.90%
发文量
119
审稿时长
6-12 weeks
期刊介绍: The Annals of Statistics aim to publish research papers of highest quality reflecting the many facets of contemporary statistics. Primary emphasis is placed on importance and originality, not on formalism. The journal aims to cover all areas of statistics, especially mathematical statistics and applied & interdisciplinary statistics. Of course many of the best papers will touch on more than one of these general areas, because the discipline of statistics has deep roots in mathematics, and in substantive scientific fields.
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