Visualizing Multiple Quantile Plots

Multiple-quantile plots provide a powerful graphical method for comparing the distributions of two or more populations. This article develops a method of visualizing triple-quantile plots and their…

Extreme Value Estimation for Heterogeneous Data

We develop a universal econometric formulation of empirical power laws possibly driven by parameter heterogeneity. Our approach extends classical extreme value theory to specifying the tail behavio…

Testing the Multivariate Regular Variation Model

Formulae display:MathJax Logo? In this article, we propose a test for the multivariate regular variation (MRV) model. The test is based on testing whether the extreme value indices of the radial…

Two-Sample Testing for Tail Copulas with an Application to Equity Indices

A novel, general two-sample hypothesis testing procedure is established for testing the equality of tail copulas associated with bivariate data. More precisely, using a martingale transformation of…

Limits to Human Life Span Through Extreme Value Theory