Zobrazeno 1 - 10
of 97
pro vyhledávání: '"stable tail dependence function"'
Autor:
Mai Jan-Frederik
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 29-46 (2024)
We derive lower and upper bounds for the survival function of an exchangeable sequence of random variables, for which the scaled minimum of each finite subgroup has a univariate exponential distribution. These bounds are sharp in the sense that both
Externí odkaz:
https://doaj.org/article/89be13b6b3404641af6c34ab8a0cca8b
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Ressel Paul
Publikováno v:
Dependence Modeling, Vol 10, Iss 1, Pp 225-235 (2022)
We prove some important properties of the extremal coefficients of a stable tail dependence function (“STDF”) and characterise logistic and some related STDFs. The well known sufficient conditions for composebility of logistic STDFs are shown to
Externí odkaz:
https://doaj.org/article/6b869a7db2934d278ec7def2c9d89007
Autor:
Mercadier Cécile, Ressel Paul
Publikováno v:
Dependence Modeling, Vol 9, Iss 1, Pp 179-198 (2021)
The paper investigates the Hoeffding–Sobol decomposition of homogeneous co-survival functions. For this class, the Choquet representation is transferred to the terms of the functional decomposition, and in addition to their individual variances, or
Externí odkaz:
https://doaj.org/article/ddd73d12204645b3ae5935cc47581274
Autor:
Ressel Paul
Publikováno v:
Dependence Modeling, Vol 7, Iss 1, Pp 247-258 (2019)
For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole
Externí odkaz:
https://doaj.org/article/86f1575d365c428fa53cef56abf4aec2
Publikováno v:
Scandinavian Journal of Statistics, 2018 Sep 01. 45(3), 590-617.
Externí odkaz:
https://www.jstor.org/stable/26593424
Akademický článek
Tento výsledek nelze pro nepřihlášené uživatele zobrazit.
K zobrazení výsledku je třeba se přihlásit.
K zobrazení výsledku je třeba se přihlásit.
Autor:
Anna Kiriliouk
Publikováno v:
Kiriliouk, A 2020, ' Hypothesis testing for tail dependence parameters on the boundary of the parameter space ', Econometrics and Statistics, vol. 16, pp. 121-135 . https://doi.org/10.1016/j.ecosta.2019.06.001
Modelling multivariate tail dependence is one of the key challenges in extreme-value theory. Multivariate extremes are usually characterized using parametric models, some of which have simpler submodels at the boundary of their parameter space. Hypot
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::01de34949e39ffde9a6739695e9c159d
https://doi.org/10.1016/j.ecosta.2019.06.001
https://doi.org/10.1016/j.ecosta.2019.06.001
Autor:
Paul Ressel
Publikováno v:
Dependence Modeling, Vol 7, Iss 1, Pp 247-258 (2019)
For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a84457c5fff3ca135033de49da4d5515
https://doaj.org/article/86f1575d365c428fa53cef56abf4aec2
https://doaj.org/article/86f1575d365c428fa53cef56abf4aec2
Autor:
Mercadier, Cécile, Ressel, Paul
The paper investigates the Hoeffding-Sobol decomposition of homogeneous co-survival functions. For this class of functions, the spectral representation is transfered to the terms of the functional decomposition, and in addition to their individual va
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::422351761de3cd704437fc1a601765d2
https://hal.archives-ouvertes.fr/hal-03200817/file/MercadierRessel2021.pdf
https://hal.archives-ouvertes.fr/hal-03200817/file/MercadierRessel2021.pdf
