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Nested Archimedean Copulas Meet R: The nacopula Package [PDF]
Journal of Statistical Software, 2011 The package nacopula provides procedures for constructing nested Archimedean copulas in any dimensions and with any kind of nesting structure, generating vectors of random variates from the constructed objects, computing function values and probabilities
Marius Hofert, Martin Maechler
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Stability versus neuronal specialization for STDP: long-tail weight distributions solve the dilemma. [PDF]
PLoS ONE, 2011 Spike-timing-dependent plasticity (STDP) modifies the weight (or strength) of synaptic connections between neurons and is considered to be crucial for generating network structure. It has been observed in physiology that, in addition to spike timing, the
Matthieu Gilson, Tomoki Fukai
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Nonparametric Estimation of the Tail-Dependence Coefficient
Revstat Statistical Journal, 2013 A common measure of tail dependence is the so-called tail-dependence coefficient. We present a nonparametric estimator of the tail-dependence coefficient and prove its strong consistency and asymptotic normality in the case of known marginal ...
Marta Ferreira
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A method of moments estimator of tail dependence [PDF]
, 2007 In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the problem in a truly ...
Andrea Krajina +5 more
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Dense classes of multivariate extreme value distributions [PDF]
, 2013 International audienceIn this paper, we explore tail dependence modelling in multivariate extreme value distributions. The measure of dependence chosen is the scale function, which allows combinations of distributions in a very flexible way.
Fougères, Anne-Laure +2 more
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Extremal attractors of Liouville copulas [PDF]
, 2017 Liouville copulas, which were introduced in McNeil and Neslehova (2010), are asymmetric generalizations of the ubiquitous Archimedean copula class. They are the dependence structures of scale mixtures of Dirichlet distributions, also called Liouville ...
Belzile, Léo R. +1 more
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The realization problem for tail correlation functions [PDF]
, 2016 For a stochastic process $\{X_t\}_{t \in T}$ with identical one-dimensional margins and upper endpoint $\tau_{\text{up}}$ its tail correlation function (TCF) is defined through $\chi^{(X)}(s,t) = \lim_{\tau \to \tau_{\text{up}}} P(X_s > \tau \,\mid\, X_t
Fiebig, Ulf-Rainer +2 more
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Max-stable random sup-measures with comonotonic tail dependence [PDF]
, 2016 Several objects in the Extremes literature are special instances of max-stable random sup-measures. This perspective opens connections to the theory of random sets and the theory of risk measures and makes it possible to extend corresponding notions and ...
Molchanov, Ilya, Strokorb, Kirstin
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Statistical Modeling of Spatial Extremes [PDF]
, 2012 The areal modeling of the extremes of a natural process such as rainfall or temperature is important in environmental statistics; for example, understanding extreme areal rainfall is crucial in flood protection.
Davison, A. C. +2 more
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A large deviations approach to limit theory for heavy-tailed time series [PDF]
, 2015 In this paper we propagate a large deviations approach for proving limit theory for (generally) multivariate time series with heavy tails. We make this notion precise by introducing regularly varying time series.
Mikosch, T., Wintenberger, O.
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