A geometric investigation into the tail dependence of vine copulas
From MaRDI portal
Publication:2034451
Abstract: Vine copulas are a type of multivariate dependence model, composed of a collection of bivariate copulas that are combined according to a specific underlying graphical structure. Their flexibility and practicality in moderate and high dimensions have contributed to the popularity of vine copulas, but relatively little attention has been paid to their extremal properties. To address this issue, we present results on the tail dependence properties of some of the most widely studied vine copula classes. We focus our study on the coefficient of tail dependence and the asymptotic shape of the sample cloud, which we calculate using the geometric approach of Nolde (2014). We offer new insights by presenting results for trivariate vine copulas constructed from asymptotically dependent and asymptotically independent bivariate copulas, focusing on bivariate extreme value and inverted extreme value copulas, with additional detail provided for logistic and inverted logistic examples. We also present new theory for a class of higher dimensional vine copulas, constructed from bivariate inverted extreme value copulas.
Recommendations
Cites work
- A Conditional Approach for Multivariate Extreme Values (with Discussion)
- A construction principle for multivariate extreme value distributions
- A directory of coefficients of tail dependence
- A Multivariate Exponential Distribution
- Asymptotic independence for unimodal densities
- Bivariate extreme value theory: Models and estimation
- Common sampling orders of regular vines with application to model selection
- Conditioned limit laws for inverted max-stable processes
- Dependence measures for extreme value analyses
- Determining the dependence structure of multivariate extremes
- Geometric interpretation of the residual dependence coefficient
- scientific article; zbMATH DE number 3163305 (Why is no real title available?)
- scientific article; zbMATH DE number 469373 (Why is no real title available?)
- scientific article; zbMATH DE number 1085999 (Why is no real title available?)
- Meta densities and the shape of their sample clouds
- Modelling multivariate extreme value distributions
- Pair-copula constructions of multiple dependence
- Probability density decomposition for conditionally dependent random variables modeled by vines
- Properties of extremal dependence models built on bivariate MAX-linearity
- Selecting and estimating regular vine copulae and application to financial returns
- Sparse representation of multivariate extremes with applications to anomaly detection
- Statistical Methods for Multivariate Extremes: An Application to Structural Design
- Statistics for near independence in multivariate extreme values
- Tail dependence functions and vine copulas
- The pairwise beta distribution: A flexible parametric multivariate model for extremes
- Truncated regular vines in high dimensions with application to financial data
- Uncertainty Analysis with High Dimensional Dependence Modelling
- Vines -- a new graphical model for dependent random variables.
Cited in
(7)- Tail dependence functions and vine copulas
- Vine copulas with asymmetric tail dependence and applications to financial return data
- Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management
- Partial Tail-Correlation Coefficient Applied to Extremal-Network Learning
- X-vine models for multivariate extremes
- A wee exploration of techniques for risk assessments of extreme events. EVA (2023) Conference Data Challenge: Wee Extremes group
- Estimating the limiting shape of bivariate scaled sample clouds: with additional benefits of self-consistent inference for existing extremal dependence properties
This page was built for publication: A geometric investigation into the tail dependence of vine copulas
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2034451)
