Copula-based conditional tail indices

DOI10.1016/J.JMVA.2023.105268MaRDI QIDQ6200942zbMATH OpenOpenAlexFDO

Authors Vincenzo Coia, Harry Joe, Natalia Nolde

Publication date 25 March 2024

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2023.105268

zbMATH Keywords

conditional distributioncopularegular variationtail indexvine

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) General nonlinear regression (62J02)

Cites work

• Dependence modeling with copulas
• Estimation of Extreme Conditional Quantiles Through Power Transformation
• Extended generalised Pareto models for tail estimation
• Extreme value theory. An introduction.
• Families of Multivariate Distributions
• scientific article; zbMATH DE number 3163305 (Why is no real title available?)
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• Invariant dependence structure under univariate truncation
• Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
• Pareto distributions
• Probability density decomposition for conditionally dependent random variables modeled by vines
• Tail order and intermediate tail dependence of multivariate copulas
• Vines -- a new graphical model for dependent random variables.

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