Empirical tail dependence functions in high dimensions: uniform linearizations and inference
The analysis of extremal dependence in high dimensions is a key challenge in modern extreme-value statistics. Existing methodology primarily focuses on modeling and estimation of extremal dependence structures, often supported by concentration bounds for empirical tail quantities. However, comparatively little is known about general inferential procedures in high-dimensional extremes. In this paper, we develop foundational results that enable inference for rank-based empirical tail dependence coefficients, stable tail dependence functions, and functionals derived from them. We start by establishing finite-sample probability bounds that quantify the linearization error for such estimators uniformly over collections of coordinates. Moreover, we derive high-dimensional central limit theorems and establish the validity of multiplier bootstrap procedures for collections of empirical tail dependence statistics. Within an asymptotic framework, our results allow the dimension to grow exponentially with the effective sample size. We illustrate the usefulness of the results through two applications: uniform expansions and normal approximations for M-estimators of tail dependence parameters and inference for spatial isotropy based on collections of tail dependence functions.