{"title":"变化极值依赖结构的统计推断","authors":"Holger Drees","doi":"10.1214/23-aos2314","DOIUrl":null,"url":null,"abstract":"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.","PeriodicalId":8032,"journal":{"name":"Annals of Statistics","volume":null,"pages":null},"PeriodicalIF":3.2000,"publicationDate":"2023-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Statistical inference on a changing extreme value dependence structure\",\"authors\":\"Holger Drees\",\"doi\":\"10.1214/23-aos2314\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"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.\",\"PeriodicalId\":8032,\"journal\":{\"name\":\"Annals of Statistics\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":3.2000,\"publicationDate\":\"2023-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Annals of Statistics\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.1214/23-aos2314\",\"RegionNum\":1,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Annals of Statistics","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1214/23-aos2314","RegionNum":1,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
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.
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.