Testing the Multivariate Regular Variation Model

John H.J. Einmahl, Fan Yang, Chen Zhou*

*Corresponding author for this work

Research output: Contribution to journalArticleAcademicpeer-review

2 Citations (Scopus)


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.

Original languageEnglish
Pages (from-to)907-919
Number of pages13
JournalJournal of Business and Economic Statistics
Issue number4
Publication statusPublished - 2021

Bibliographical note

John Einmahl holds the Arie Kapteyn Chair 2019–2022 and gratefully acknowledges the corresponding research support


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