Academic Journal
ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes
| العنوان: | ANOVEX: ANalysis Of Variability for heavy-tailed EXtremes |
|---|---|
| المؤلفون: | Girard, Stéphane, Opitz, Thomas, Usseglio-Carleve, Antoine |
| المساهمون: | Modèles statistiques bayésiens et des valeurs extrêmes pour données structurées et de grande dimension (STATIFY), Inria Grenoble - Rhône-Alpes, Institut National de Recherche en Informatique et en Automatique (Inria)-Institut National de Recherche en Informatique et en Automatique (Inria)-Laboratoire Jean Kuntzmann (LJK), Institut National de Recherche en Informatique et en Automatique (Inria)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP), Université Grenoble Alpes (UGA)-Centre National de la Recherche Scientifique (CNRS)-Université Grenoble Alpes (UGA)-Institut polytechnique de Grenoble - Grenoble Institute of Technology (Grenoble INP), Université Grenoble Alpes (UGA), Biostatistique et Processus Spatiaux (BioSP), Institut National de Recherche pour l’Agriculture, l’Alimentation et l’Environnement (INRAE), EA2151 Laboratoire de Mathématiques d'Avignon (LMA), Avignon Université (AU), Chaire Stress Test - BNP Paribas/Ecole polytechnique/Fondation de l'X |
| المصدر: | ISSN: 1935-7524. |
| بيانات النشر: | CCSD Institute of Mathematical Statistics |
| سنة النشر: | 2024 |
| المجموعة: | Institut National de la Recherche Agronomique: ProdINRA |
| مصطلحات موضوعية: | Extreme-value analysis, Analysis of variance, Heavy tails, Extreme quantiles, Hypothesis testing, [MATH.MATH-ST]Mathematics [math]/Statistics [math.ST] |
| الوصف: | International audience ; Analysis of variance (ANOVA) tests for differences in the means of independent samples but is unsuitable for evaluating differences in tail behaviour, especially when means do not exist or empirical estimation of means or higher 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. Assuming regular variation, we introduce a test for significant tail differences across 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 test hyperparameters. We conduct simulations that highlight generally reliable test behaviour for a wide range of finite-sample 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 in Germany. |
| نوع الوثيقة: | article in journal/newspaper |
| اللغة: | English |
| الاتاحة: | https://hal.science/hal-04200300 https://hal.science/hal-04200300v3/document https://hal.science/hal-04200300v3/file/Heavy_tail_ANOVA-6.pdf |
| Rights: | info:eu-repo/semantics/OpenAccess |
| رقم الانضمام: | edsbas.BD6B2A2A |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |