Results 271 to 280 of about 1,282,215 (298)

Micro Correlations and Tail Dependence

2010
An elementary though seemingly under-appreciated finding shows that small global correlations are amplified by aggregation.
Cooke, Roger M, Kousky, Carolyn, Joe, Harry   +2 more
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A Directory of Coefficients of Tail Dependence

Extremes, 2000
Let \((X,Y)\) be an \(R^2\) random vector with unit Fréchet margins and \[ \Pr\{X>t,Y>t\}\sim L(t)/\Pr\{X>t\}^{1/\eta} \] for large \(t\), \(L(t)\) slowly varying as \(t\to\infty\) and \(\eta\in[0,1]\). Then \(\eta\) is called the coefficient of tail dependence. (The independence of \(X\) and \(Y\) corresponds to \(\eta=1/2\), \(L(t)=1\)).
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Tail-weighted dependence measures with limit being the tail dependence coefficient

Journal of Nonparametric Statistics, 2017
For bivariate continuous data, measures of monotonic dependence are based on the rank transformations of the two variables.
David Lee, Harry Joe, Pavel Krupskii
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Nonparametric estimation of multivariate tail probabilities and tail dependence coefficients

Journal of Multivariate Analysis, 2019
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Pavel Krupskii, Harry Joe
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Characterization of Tail Dependence for In-Degree and PageRank

2009
The dependencies between power law parameters such as in-degree and PageRank, can be characterized by the so-called angular measure, a notion used in extreme value theory to describe the dependency between very large values of coordinates of a random vector.
N. Litvak, W.R.W. Scheinhardt (Werner), Y. Volkovich, A.P. Zwart (Bert)   +3 more
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Asymmetry in tail dependence in equity portfolios

Computational Statistics & Data Analysis, 2010
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Tail Dependence of a Pareto Process

2014
Heavy-tailed autoregressive processes defined with minimum or maximum operator are good alternatives to classic linear ARMA with heavy tail noises, in what concerns extreme values modeling. In this paper we present a full characterization of the tail dependence of the autoregressive minima process, Yeh-Arnold-Robertson Pareto(III).
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Detection of Dependent Heavy-Tailed Signals

IEEE Transactions on Signal Processing, 2015
This paper examines the problem of detection of dependent $\alpha$ -stable signals. Measurements of several phenomena exhibit non-Gaussian, heavy-tailed behavior in their probability density functions (p.d.f.); we use the class of $\alpha$ -stable distributions to characterize these signals.
Arun Subramanian, Ashok Sundaresan, Pramod K. Varshney   +2 more
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A new class of copulas with tail dependence and a generalized tail dependence estimator [PDF]

, 2006
We present a new family of copulas (generalized mean copulas) which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally, a small simulation study is conducted.
Fischer, Matthias J., Hinzmann, Gerd
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Estimating Tail Dependence of Elliptical Distributions

2006
Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution.
Klüppelberg, Claudia, Kuhn, Gabriel, Peng, Liang   +2 more
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