A Markov product for tail dependence functions

DOI10.1016/J.JMAA.2021.124942MaRDI QIDQ1998722zbMATH OpenOpenAlexFDO

Authors Karl Friedrich Siburg, Christopher Strothmann

Publication date 8 March 2021

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

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

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)

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.

Recommendations

• Markov operators and n-copulas
• Operator tail dependence of copulas
• Markov product invariance in classes of bivariate copulas characterized by univariate functions
• Multivariate Markov families of copulas
• Study of dependence for some stochastic processes: symbolic Markov copulae

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Cited in

(5)

• Stochastic monotonicity and the Markov product for copulas
• Markov product invariance in classes of bivariate copulas characterized by univariate functions
• Markov operators and n-copulas
• scientific article; zbMATH DE number 4042996 (Why is no real title available?)
• Measuring non-exchangeable tail dependence using tail copulas

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