Results 41 to 50 of about 454,765 (293)
On the tail dependence in bivariate hydrological frequency analysis
Dependence Modeling, 2015 In Bivariate Frequency Analysis (BFA) of hydrological events, the study and quantification of the dependence between several variables of interest is commonly carried out through Pearson’s correlation (r), Kendall’s tau (τ) or Spearman’s rho (ρ).
Lekina Alexandre +2 more
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An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence
Journal of Probability and Statistics, 2014 Measuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events. A usual measure is given by the tail dependence coefficient.
Marta Ferreira, Sérgio Silva
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Power-Law Distributions from Sigma-Pi Structure of Sums of Random Multiplicative Processes
Entropy, 2017 We introduce a simple growth model in which the sizes of entities evolve as multiplicative random processes that start at different times. A novel aspect we examine is the dependence among entities.
Arthur Matsuo Yamashita Rios de Sousa +3 more
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A Note on Tail Dependence Regression
SSRN Electronic Journal, 2013 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Zhang, Qingzhao +2 more
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Robust Learning of Tail Dependence
EconometricsAccurate estimation of tail dependence is difficult due to model misspecification and data contamination. This paper introduces a class of minimum f-divergence estimators for the tail dependence coefficient that unifies robust estimation with extreme ...
Omid M. Ardakani
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On Conditional Value at Risk (CoVaR) for tail-dependent copulas
Dependence Modeling, 2017 The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the conditioning ...
Jaworski Piotr
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Volatility Modeling and Dependence Structure of ESG and Conventional Investments
Risks, 2022 The question of whether environmental, social, and governance investments outperform or underperform other conventional financial investments has been debated in the literature.
Joanna Górka, Katarzyna Kuziak
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Lifestyle Behaviors and Cardiotoxic Treatment Risks in Adult Childhood Cancer Survivors
Pediatric Blood &Cancer, EarlyView.ABSTRACT Background Higher doses of anthracyclines and heart‐relevant radiotherapy increase cardiovascular disease (CVD) risk. This study assessed CVD and CVD risk factors among adult childhood cancer survivors (CCSs) across cardiotoxic treatment risk groups and examined associations between lifestyle behaviors and treatment risks.
Ruijie Li +6 more
wiley +1 more source
Bivariate Extreme Statistics, II
Revstat Statistical Journal, 2012 We review the current state of statistical modeling of asymptotically independent data. Our discussion includes necessary and sufficient conditions for asymptotic independence, results on the asymptotic independence of statistics of interest, estimation
Miguel de Carvalho , Alexandra Ramos
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Identifying groups of variables with the potential of being large simultaneously
, 2018 Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive.
Chiapino, Maël +2 more
core +1 more source