A new approach to extreme value theory is presented for vector data with heavy tails. The tail index is allowed to vary with direction, where the directions are not necessarily along the coordinate axes. Basic asymptotic theory is developed, using operator regular variation and extremal integrals. A test is proposed to judge whether the tail index varies with direction in any given data set.
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| http://www.ncbi.nlm.nih.gov/pmc/articles/PMC3892951 | PMC |
| http://dx.doi.org/10.1007/s10687-012-0166-x | DOI Listing |
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