A Markov product for tail dependence functions

DOI10.1016/J.JMAA.2021.124942zbMATH Open1473.62168arXiv2003.09636OpenAlexW3012642105MaRDI QIDQ1998722FDOQ1998722

Karl Friedrich Siburg, Christopher Strothmann

Publication date: 8 March 2021

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Abstract: We introduce a Markov product structure for multivariate tail dependence functions, building upon the well-known Markov product for copulas. We investigate algebraic and monotonicity properties of this new product as well as its role in describing the tail behaviour of the Markov product of copulas. For the bivariate case, we show additional smoothing properties and derive a characterization of idempotents together with the limiting behaviour of n-fold iterations. Finally, we establish a one-to-one correspondence between bivariate tail dependence functions and a class of positive, substochastic operators. These operators are contractions both on $L^1(mathbb{R}_{+})$ and $L^{i}nfty(mathbb{R}_{+})$ and constitute a natural generalization of Markov operators.

Full work available at URL: https://arxiv.org/abs/2003.09636

Recommendations

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zbMATH Keywords

copulaMarkov operatortail dependenceMarkov productsubstochastic operator

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Continuous-time Markov processes on general state spaces (60J25) Factorials, binomial coefficients, combinatorial functions (05A10) Transition functions, generators and resolvents (60J35)

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Cited In (4)

• Stochastic monotonicity and the Markov product for copulas
• Markov operators and n-copulas
• Title not available (Why is that?)
• Measuring non-exchangeable tail dependence using tail copulas

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