Comparison of Extremal Models through Statistical Choice in Multidimensional Backgrounds

The multidimensional GEV model (which generalizes the classical Gumbel model in Statistical Extremes) is compared with the multivariate GEV model introduced by Weissman, and similar in spirit to the Peaks Over Threshold approach. Assessment of usefulness of these models is here made through the comparison of power of a Modified Locally Most Powerful statistical choice test statistic in a multidimensional background.

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