Copula structure analysis based on extreme dependence

DOI10.4310/SII.2015.V8.N1.A9MaRDI QIDQ1747434zbMATH OpenWikidataFDO

Authors Claudia Klüppelberg, Stephan Haug, Gabriel Kuhn

Publication date 8 May 2018

Published in Statistics and Its Interface (Search for Journal in Brave)

Full work available at URL https://doi.org/10.4310/SII.2015.V8.N1.A9

zbMATH Keywords

elliptical copulaextreme value statisticsfactor analysisKendall's taumultivariate statisticsrisk analysisstructure analysistail dependence function

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20) Factor analysis and principal components; correspondence analysis (62H25) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Extremal dependence of copulas: a tail density approach
• \(k\)-means clustering of extremes
• Dimension reduction in multivariate extreme value analysis
• Tails of correlation mixtures of elliptical copulas
• A copula-based approach to account for dependence in stress-strength models
• Detecting atypical observations in financial data: the forward search for elliptical copulas
• Estimating an extreme Bayesian network via scalings
• On the effect of long-range dependence on extreme value copula estimation with fixed marginals
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• Stochastic dependence modelling using conditional elliptical processes
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• Causal analysis of extreme risk in a network of industry portfolios

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