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A robust test for asymptotic independence of bivariate extremes. (English) Zbl 1440.62173

Summary: 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.

MSC:

62G32 Statistics of extreme values; tail inference
62G35 Nonparametric robustness
62H15 Hypothesis testing in multivariate analysis
62G20 Asymptotic properties of nonparametric inference
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