A geometric investigation into the tail dependence of vine copulas

DOI10.1016/J.JMVA.2021.104736zbMATH Open1467.62079arXiv2012.09623OpenAlexW3129681225MaRDI QIDQ2034451FDOQ2034451

Authors: Emma S. Simpson, Jennifer L. Wadsworth, Jonathan A. Tawn 

Publication date: 22 June 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/2012.09623

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zbMATH Keywords

vine copulamultivariate extremesgauge functioncoefficient of tail dependence

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cited In (3)

• Vine copulas with asymmetric tail dependence and applications to financial return data
• Partial Tail-Correlation Coefficient Applied to Extremal-Network Learning
• Counterdiagonal/nonpositive tail dependence in vine copula constructions: application to portfolio management

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