ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2023

ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes

Résumé

Analysis of variance (ANOVA) is commonly employed to assess differences in the means of independent samples. However, it is unsuitable for evaluating differences in tail behaviour, especially when means do not exist or empirical estimation of moments is inconsistent due to heavy-tailed distributions. Here, we propose an ANOVA-like decomposition to analyse tail variability, allowing for flexible representation of heavy tails through a set of user-defined extreme quantiles, possibly located outside the range of observations. Building on the assumption of regular variation, we introduce a test for significant tail differences among multiple independent samples and derive its asymptotic distribution. We investigate the theoretical behaviour of the test statistics for the case of two samples, each following a Pareto distribution, and explore strategies for setting hyperparameters in the test procedure. To demonstrate the finite-sample performance, we conduct simulations that highlight generally reliable test behaviour for a wide range of situations. The test is applied to identify clusters of financial stock indices with similar extreme log-returns and to detect temporal changes in daily precipitation extremes at rain gauges in Germany.
Fichier principal
Vignette du fichier
Heavy_tail_ANOVA-6.pdf (1005.32 Ko) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04200300 , version 1 (08-09-2023)

Identifiants

  • HAL Id : hal-04200300 , version 1

Citer

Stéphane Girard, Thomas Opitz, Antoine Usseglio-Carleve. ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes. 2023. ⟨hal-04200300⟩
132 Consultations
52 Téléchargements

Partager

Gmail Facebook X LinkedIn More