Multivariate extreme value theory is concerned with modeling the joint tail behavior of several random variables. Existing work mostly focuses on asymptotic dependence, where the probability of observing a large value in one of the variables is of the same order as observing a large value in all variables simultaneously. However, there is growing evidence that asymptotic independence is equally important in real world applications. Available statistical methodology in the latter setting is scarce and not well understood theoretically. We revisit non-parametric estimation and introduce rank-based M-estimators for parametric models that simultaneously work under asymptotic dependence and asymptotic independence, without requiring prior knowledge on which of the two regimes applies. Asymptotic normality of the proposed estimators is established under weak regularity conditions. We further show how bivariate estimators can be leveraged to obtain parametric estimators in spatial tail models, and again provide a thorough theoretical justification for our approach.
翻译:多变量极端值理论涉及若干随机变量的共同尾端行为的建模。现有工作主要侧重于无症状依赖性,在其中一个变量中观测大值的概率与同时观测所有变量中大值的概率相同。然而,越来越多的证据表明,在现实世界应用中,无症状独立同等重要。在后一种环境下,可用的统计方法稀少,在理论上没有很好理解。我们重新审视非参数估计,为在无症状依赖性和无症状独立性下同时工作的参数模型引入基于等级的测算仪,而无需事先了解两种体系中的哪一个。拟议估算师的正常性在常规性薄弱的条件下得以确立。我们进一步展示如何利用双变量估算器获取空间尾部模型中的参数,并再次为我们的方法提供透彻的理论依据。