Results 11 to 20 of about 454,765 (293)
Distorted Copulas: Constructions and Tail Dependence [PDF]
Communications in Statistics - Theory and Methods, 2010 Given a copula C, we examine under which conditions on an order isomorphism ψ of [0, 1] the distortion C ψ: [0, 1]2 → [0, 1], C ψ(x, y) = ψ{C[ψ−1(x), ψ−1(y)]} is again a copula. In particular, when the copula C is totally positive of order 2, we give a sufficient condition on ψ that ensures that any distortion of C by means of ψ is again a copula.
Durante F, Foschi R, Sarkoci P
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Lower Tail Dependence for Archimedean Copulas: Characterizations and Pitfalls [PDF]
SSRN Electronic Journal, 2006 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Charpentier, A., Segers, J.J.J.
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AnM-Estimator of Spatial Tail Dependence [PDF]
Journal of the Royal Statistical Society Series B: Statistical Methodology, 2014 SummaryTail dependence models for distributions attracted to a max-stable law are fitted by using observations above a high threshold. To cope with spatial, high dimensional data, a rank-based M-estimator is proposed relying on bivariate margins only. A data-driven weight matrix is used to minimize the asymptotic variance.
Einmahl, J.H.J. +3 more
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On Tail Dependence and Multifractality
Mathematics, 2020 We study whether, and if yes then how, a varying auto-correlation structure in different parts of distributions is reflected in the multifractal properties of a dynamic process.
Krenar Avdulaj, Ladislav Kristoufek
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Correlation analysis of financial assets based on asymmetric copula
Frontiers in Applied Mathematics and Statistics, 2022 Based on the asymmetric copula function, this paper analyzes the static and dynamic correlation between Shanghai Composite Index and Shenzhen Composite Index.
Xia Li, Bing Hou
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Intermediate Tail Dependence: A Review and Some New Results [PDF]
, 2012 The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on intermediate tail
A. Charpentier +35 more
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Assessing the dependence structure between oceanographic, fluvial, and pluvial flooding drivers along the United States coastline [PDF]
Hydrology and Earth System Sciences, 2021 Flooding is of particular concern in low-lying coastal zones that are prone to flooding impacts from multiple drivers, such as oceanographic (storm surge and wave), fluvial (excessive river discharge), and/or pluvial (surface runoff).
A. A. Nasr +4 more
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Measuring non-exchangeable tail dependence using tail copulas
ASTIN Bulletin, 2023 AbstractQuantifying tail dependence is an important issue in insurance and risk management. The prevalent tail dependence coefficient (TDC), however, is known to underestimate the degree of tail dependence and it does not capture non-exchangeable tail dependence since it evaluates the limiting tail probability only along the main diagonal.
Takaaki Koike, Shogo Kato, Marius Hofert
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Risks, 2020 This paper examines the joint movement and tail dependence structure between the pair of foreign exchange rates (EUR, USD and GBP) against the GHS, using daily exchange rates data expressed in GHS per unit of foreign currencies (EUR, USD and GBP) between
Prince Osei Mensah, Anokye M. Adam
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Stable tail dependence functions – some basic properties
Dependence Modeling, 2022 We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs.
Ressel Paul
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