Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application

DOI10.1515/DEMO-2021-0108MaRDI QIDQ2076958zbMATH OpenOpenAlexFDO

Authors Cecile Mercadier, Paul Ressel

Publication date 22 February 2022

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1515/demo-2021-0108

zbMATH Keywords

co-survival functionHoeffding-Sobol decompositionmultivariate extreme value modelingspectral representationstable tail dependence function

Mathematics Subject Classification ID

Monotonic functions, generalizations (26A48) Functions of several variables (26B99) Multiple integral transforms (44A30) Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• A Class of Statistics with Asymptotically Normal Distribution
• Asymptotic Statistics
• Best attainable rates of convergence for estimators of the stable tail dependence function
• Bias correction in multivariate extremes
• Copulas, stable tail dependence functions, and multivariate monotonicity
• Estimating Mean Dimensionality of Analysis of Variance Decompositions
• Functions operating on multivariate distribution and survival functions - With applications to classical mean-values and to copulas
• Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
• scientific article; zbMATH DE number 4030574 (Why is no real title available?)
• scientific article; zbMATH DE number 1894664 (Why is no real title available?)
• scientific article; zbMATH DE number 1425054 (Why is no real title available?)
• Limit theory for multivariate sample extremes
• Polynomial meta-models with canonical low-rank approximations: numerical insights and comparison to sparse polynomial chaos expansions
• The jackknife estimate of variance
• The tail dependograph

Cited in

(1)

• Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski

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