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Procedure of test to compare the tail indices

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Abstract

We propose a test procedure which compares the extreme value indices of two samples with heavy tail distributions. On a theoretical point of view, we adopt the minimax nonparametric point of view. We exhibit the separating rate between the null hypothesis and the alternative of our procedure. Next, we present a data driven test methodology and we evaluate its performance thanks to an extensive simulation study. As a practical real-life application, we compare the risk behaviors of a panel of different financial data.

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Authors and Affiliations

  1. ModalX, Batiment G, Université Paris X-Nanterre, 200 avenue de la République, 92001, Nanterre, France

    Mathilde Mougeot & Karine Tribouley

Authors
  1. Mathilde Mougeot
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  2. Karine Tribouley
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Correspondence to Mathilde Mougeot.

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Mougeot, M., Tribouley, K. Procedure of test to compare the tail indices. Ann Inst Stat Math 62, 383–412 (2010). https://doi.org/10.1007/s10463-008-0198-9

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  • DOI: https://doi.org/10.1007/s10463-008-0198-9

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