Bernoulli and tail-dependence compatibility
| Autor: | Embrechts, Paul, Hofert, Marius, Wang, Ruodu |
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| Rok vydání: | 2016 |
| Předmět: | |
| Zdroj: | Annals of Applied Probability 2016, Vol. 26, No. 3, 1636-1658 |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1214/15-AAP1128 |
| Popis: | The tail-dependence compatibility problem is introduced. It raises the question whether a given $d\times d$-matrix of entries in the unit interval is the matrix of pairwise tail-dependence coefficients of a $d$-dimensional random vector. The problem is studied together with Bernoulli-compatible matrices, that is, matrices which are expectations of outer products of random vectors with Bernoulli margins. We show that a square matrix with diagonal entries being 1 is a tail-dependence matrix if and only if it is a Bernoulli-compatible matrix multiplied by a constant. We introduce new copula models to construct tail-dependence matrices, including commonly used matrices in statistics. Comment: Published at http://dx.doi.org/10.1214/15-AAP1128 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org) |
| Databáze: | arXiv |
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