Generation and Detection of Multivariate Regular Variation and Hidden Regular Variation

Bikramjit Das, Sidney Resnick

Published 2014-03-23Version 1

We review definitions of multivariate regular variation (MRV) and hidden regular variation (HRV) for distributions of random vectors and then summarize methods for generating models exhibiting both properties. We also discuss diagnostic techniques that detect these properties in multivariate data and indicate when models exhibiting both MRV and HRV are plausible fits for the data. We illustrate our techniques on simulated data and also two real Internet data sets.