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pro vyhledávání: '"Tail dependence coefficient"'
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A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank delimits the tails of a distribution. We propose a new method to optimall
Externí odkaz:
http://arxiv.org/abs/2111.11128
Publikováno v:
In Journal of Multivariate Analysis July 2020 178
Autor:
Yang, Chen1 cyang244@whu.edu.cn, Jiang, Wenjun2 wjiang66@uwo.ca, Wu, Jiang3 jwu447@uwo.ca, Liu, Xin2 xliu246@uwo.ca, Li, Zhichuan4 fli@ivey.ca
Publikováno v:
Statistical Methods & Applications. Aug2018, Vol. 27 Issue 3, p491-513. 23p.
Autor:
Ghosh, Abhik
The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual maximum likeli
Externí odkaz:
http://arxiv.org/abs/1407.1778
Autor:
Fung, Thomas, Seneta, Eugene
We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution, and hence is
Externí odkaz:
http://arxiv.org/abs/1312.0983
Autor:
Ferreira, Marta
Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss events. A commo
Externí odkaz:
http://arxiv.org/abs/1109.5485
Autor:
Fung, Thomas, Seneta, Eugene
Publikováno v:
In Journal of Multivariate Analysis July 2014 128:62-72
Autor:
Schlueter, Stephan1 schlst@web.de, Fischer, Matthias1 Matthias.Fischer@wiso.uni-erlangen.de
Publikováno v:
Extremes. Jun2012, Vol. 15 Issue 2, p159-174. 16p.
Autor:
Marta Ferreira
Publikováno v:
Revstat Statistical Journal, Vol 11, Iss 1 (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 distribu
Externí odkaz:
https://doaj.org/article/22b05f6d6104465bbf98e1f0c62eaef0