[Statlist] ETH/UZH Research Seminar on Statistics by Chen Zhou, Erasmus University, Rotterdam, 14.11.2024

[Kaiser-Heinzmann Susanne]

We are glad to announce the following talk in the ETH/UZH Research Seminar on Statistics:

"High dimensional inference for extreme value indices"   
by Chen Zhou, Erasmus University, Rotterdam

Time: Thursday, 14.11.2024 at 15.15 h
Place: ETH Zurich, HG E 41

Abstract: When applying multivariate extreme values statistics to analyze tail risk in compound events defined by a multivariate random vector, one often assumes that all dimensions share the same extreme value index. While such an assumption can be tested using a Wald-type test, the performance of such a test deteriorates as the dimensionality increases. This paper introduces a novel test for testing extreme value indices in a high dimensional setting. We show the asymptotic behavior of the test statistic and conduct simulation studies to evaluate its finite sample performance. The proposed test significantly outperforms existing methods in high dimensional settings. We apply this test to examine two datasets previously assumed to have identical extreme value indices across all dimensions.

This is a joint work with Liujun Chen (USTC).


Seminar website, https://math.ethz.ch/sfs/news-and-events/research-seminar.html