A geometric investigation into the tail dependence of vine copulas
From MaRDI portal
Publication:2034451
DOI10.1016/j.jmva.2021.104736zbMath1467.62079arXiv2012.09623OpenAlexW3129681225MaRDI QIDQ2034451
Jennifer L. Wadsworth, Jonathan A. Tawn, Emma S. Simpson
Publication date: 22 June 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2012.09623
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Pair-copula constructions of multiple dependence
- Selecting and estimating regular vine copulae and application to financial returns
- Geometric interpretation of the residual dependence coefficient
- Properties of extremal dependence models built on bivariate MAX-linearity
- Conditioned limit laws for inverted max-stable processes
- Meta densities and the shape of their sample clouds
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Tail dependence functions and vine copulas
- Vines -- a new graphical model for dependent random variables.
- Common sampling orders of regular vines with application to model selection
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Sparse representation of multivariate extremes with applications to anomaly detection
- A construction principle for multivariate extreme value distributions
- Modelling multivariate extreme value distributions
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Asymptotic independence for unimodal densities
- Bivariate extreme value theory: Models and estimation
- Statistics for near independence in multivariate extreme values
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Determining the dependence structure of multivariate extremes
- A Multivariate Exponential Distribution
- Dependence measures for extreme value analyses
- A directory of coefficients of tail dependence
