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Simulation of elliptical multivariate regular variation
Journal of the Korean Data & Information Science Society 2022;33:347-57
Published online May 31, 2022;  https://doi.org/10.7465/jkdi.2022.33.3.347
© 2022 Korean Data and Information Science Society.

Moosup Kim1

1Department of Statistics, Keimyung University
Correspondence to: This work was supported by the National Research Foundation of Korea(NRF) grant funded by the Korea government(MSIT) (No.NRF-2021R1F1A1048985).
1 Assistant professor, Department of Statistics, Keimyung University, Daegu 42601, Korea. E-mail: moosupkim@gmail.com
Received March 2, 2022; Revised March 26, 2022; Accepted March 28, 2022.
This is an Open Access article distributed under the terms of the Creative Commons Attribution Non-Commercial License (http://creativecommons.org/licenses/by-nc/3.0) which permits unrestricted non-commercial use, distribution, and reproduction in any medium, provided the original work is properly cited.
Abstract
This paper proposes a simulation method of elliptical multivariate regular variation. It is prominent to simulate its spectral measure that describes the angular component of multivariate extreme value. Based on the density function of spectral measure derived from elliptical distribution, which is analytically tractable, we apply acceptancerejection algorithm for simulating the spectral measure. Furthermore, based on the algorithm, a simulation method of multivariate extreme is proposed by utilizing the generic properties of multivariate regular variation. The performance of the proposed method is evaluated by a numerical study.
Keywords : Acceptance-rejection algorithm, elliptical distribution, multivariate regular variation.