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Updated: May 3, 2026

Measuring the Subjective Value of Risky and Ambiguous Options using Experimental Economics and Functional MRI Methods
Published on: September 19, 2012
EXTREME VALUE THEORY WITH OPERATOR NORMING
Mark M Meerschaert1, Hans-Peter Scheffler2, Stilian A Stoev3
1Department of Statistics & Probability, Michigan State University, East Lansing MI 48824 USA. URL: http://www.stt.msu.edu/users/mcubed/
Abstract:
A new approach to extreme value theory is presented for vector data with heavy tails. The tail index is allowed to vary with direction, where the directions are not necessarily along the coordinate axes. Basic asymptotic theory is developed, using operator regular variation and extremal integrals. A test is proposed to judge whether the tail index varies with direction in any given data set.
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