Results 21 to 30 of about 2,569,963 (324)
Econometric Theory, 2021 This paper shows that if the errors in a multiple regression model are heavy-tailed, the ordinary least squares (OLS) estimators for the regression coefficients are tail-dependent. The tail dependence arises, because the OLS estimators are stochastic linear combinations of heavy-tailed random variables. Moreover, tail dependence also exists between the
Oorschot, Jochem, Zhou, Chen
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COMET Flows: Towards Generative Modeling of Multivariate Extremes and Tail Dependence [PDF]
International Joint Conference on Artificial Intelligence, 2022 Normalizing flows—a popular class of deep generative models—often fail to represent extreme phenomena observed in real-world processes. In particular, existing normalizing flow architectures struggle to model multivariate extremes, characterized by heavy-
Andrew McDonald +2 more
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Some Positive Dependence Orderings involving Tail Dependence [PDF]
, 2006 In this paper we discuss the properties of the orderings of positive dependence introduced by Hollander et al. (1990) as generalizing the bivariate positive dependence concepts of left-tail decreasing (LTD) and right-tail increasing (RTI) studied by ...
Colangelo Antonio
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Tail-dependence, exceedance sets, and metric embeddings [PDF]
Extremes, 2022 There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the matrix of ...
A. Janssen +2 more
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Links between US and Turkish agricultural commodity Markets: Nonlinear dependence and tail risk
Borsa Istanbul Review, 2023 In these unprecedented times, marred by the effects of the Covid-19 pandemic, global warming, and the war in Ukraine that began in February 2022, new approaches such as tail dependence have attracted more interest than conventional market dependence ...
Zehra Atik +2 more
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Modeling spatial tail dependence with Cauchy convolution processes [PDF]
Electronic Journal of Statistics, 2021 We study the class of dependence models for spatial data obtained from Cauchy convolution processes based on different types of kernel functions. We show that the resulting spatial processes have appealing tail dependence properties, such as tail ...
Pavel Krupskii, Raphael Huser
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Tail dependence and heavy tailedness in extreme risks
Insurance, Mathematics & Economics, 2021 In the modeling of multivariate extreme risks, the tail dependence and the heavy tailedness are the two key factors. Heavy tailedness are usually defined through the regular variation.
Liuyan Ji, K. S. Tan, Fan Yang
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Tail dependence under sample failures [PDF]
Теория вероятностей и ее применения, 2019 При сборе данных иногда встречаются ситуации, препятствующие ему, что приводит к пропускам в данных. Это может оказать влияние на последующие статистические выводы, в особенности, если исследование касается экстремальных значений, информация о которых всегда более скудна.
Ferreira, Marta Susana, Ferreira, H.
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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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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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