Results 21 to 30 of about 42,415 (143)

Diversification Benefits Under Multivariate Second Order Regular Variation [PDF]

SSRN Electronic Journal, 2017
We analyze risk diversification in a portfolio of heavy-tailed risk factors under the assumption of second order multivariate regular variation. Asymptotic limits for a measure of diversification benefit are obtained when considering, for instance, the value-at-risk .
Bikramjit Das, Marie Kratz
openaire   +1 more source

Background risk model in presence of heavy tails under dependence

Nonlinear Analysis
In this paper, we examine two problems on applied probability, which are directly connected with the dependence in presence of heavy tails. The first problem is related to max-sum equivalence of the randomly weighted sums in bivariate setup. Introducing
Dimitrios G. Konstantinides, Charalampos D. Passalidis   +1 more
doaj   +1 more source

Estimation of extreme risk regions under multivariate regular variation [PDF]

The Annals of Statistics, 2011
When considering d possibly dependent random variables, one is often interested in extreme risk regions, with very small probability p. We consider risk regions of the form ${\mathbf{z}\in\mathbb{R}^d:f(\mathbf{z})\leqβ}$, where f is the joint density and $β$ a small number.
Cai, Juan-Juan, Einmahl, John H. J., de Haan, Laurens   +2 more
openaire   +5 more sources

Skorokhod M1 convergence of maxima of multivariate linear processes with heavy-tailed innovations and random coefficients

Modern Stochastics: Theory and Applications
In this paper, functional convergence is derived for the partial maxima stochastic processes of multivariate linear processes with weakly dependent heavy-tailed innovations and random coefficients. The convergence takes place in the space of ${\mathbb{R}^
Danijel Krizmanić
doaj   +1 more source

Generation and Detection of Multivariate Regular Variation and Hidden Regular Variation

, 2014
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
Das, Bikramjit, Resnick, Sidney
openaire   +2 more sources

Quantitative Genetic Modeling of the Parental Care Hypothesis for the Evolution of Endothermy

Frontiers in Physiology, 2017
There are two heuristic explanations proposed for the evolution of endothermy in vertebrates: a correlated response to selection for stable body temperatures, or as a correlated response to increased activity.
Leonardo D. Bacigalupe, Allen J. Moore, Roberto F. Nespolo, Enrico L. Rezende, Enrico L. Rezende, Francisco Bozinovic   +5 more
doaj   +1 more source

WEARCON: wearable home monitoring in children with asthma reveals a strong association with hospital based assessment of asthma control

BMC Medical Informatics and Decision Making, 2020
Background Asthma is one of the most common chronic diseases in childhood. Regular follow-up of physiological parameters in the home setting, in relation to asthma symptoms, can provide complementary quantitative insights into the dynamics of the asthma ...
M. R. van der Kamp, E. C. Klaver, B. J. Thio, J. M. M. Driessen, F. H. C. de Jongh, M. Tabak, J. van der Palen, H. J. Hermens   +7 more
doaj   +1 more source

Multivariate regular variation on cones: application to extreme values, hidden regular variation and conditioned limit laws [PDF]

Stochastics, 2008
We attempt to bring some modest unity to three subareas of heavy tail analysis and extreme value theory: limit laws for componentwise maxima of iid random variables;hidden regular variation and asymptotic independence;conditioned limit laws when one component of a random vector is extreme.
openaire   +2 more sources

Multivariate Regular Variation of Discrete Mass Functions with Applications to Preferential Attachment Networks [PDF]

Methodology and Computing in Applied Probability, 2016
14 ...
Wang, Tiandong, Resnick, Sidney I.
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Simple models for multivariate regular variation and the Hüsler–Reiß Pareto distribution

Journal of Multivariate Analysis, 2019
We revisit multivariate extreme value theory modeling by emphasizing multivariate regular variations and the multivariate Breiman Lemma. This allows us to recover in a simple framework the most popular multivariate extreme value distributions, such as the logistic, negative logistic, Dirichlet, extremal-$t$ and Hüsler-Reiss models.
Zhen-Wai Olivier Ho, Clément Dombry
openaire   +4 more sources