A robust test for asymptotic independence of bivariate extremes

作者：Tsai Yu Ling^*; Dupuis Debbie J; Murdoch Duncan J

来源：Statistics, 2013, 47(1): 172-183.

DOI：10.1080/02331888.2011.568118

• asymptotic independence testing
• contamination
• multivariate extremes
• robustness
• shrinkage scheme

We show that the existing tests for asymptotic independence are sensitive to outliers. A robust test is proposed. The new test is made stable under contamination through a shrinkage scheme. Simulations show that the new test performs well in the presence of contaminated data while maintaining good properties when there is no contamination. An application to real data shows the added value of our new robust approach.

• 出版日期2013-2-1