On tail dependence matrices. The realization problem for parametric families (Q2191424)
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| Language | Label | Description | Also known as |
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| English | On tail dependence matrices. The realization problem for parametric families |
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On tail dependence matrices. The realization problem for parametric families (English)
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24 June 2020
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The authors present a novel viewpoint on Bernoulli compatible matrices (set of Tail Dependence Matrices, TDM). The main contribution is a methodology for the TDM realization problem restricted to parametric classes. Using an LP formulation, the solution is constracted based on the ellipsoid method, and a connection with the NP-complete max-cut problem on a real weighted undirected graph is established.
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tail dependence coefficient
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copula
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tail correlation
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tail dependence compatibility problem
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tail dependence matrix (TDM)
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NP-completeness
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linear programming (LP)
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