Assessing bivariate tail non-exchangeable dependence

DOI10.1016/J.SPL.2019.108556MaRDI QIDQ2273722zbMATH OpenOpenAlexFDO

Authors Lei Hua, Alan M. Polansky, Paramahansa Pramanik

Publication date 25 September 2019

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2019.108556

zbMATH Keywords

conditional tail expectationcopulatail behaviortail dependence

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

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Cites work

• \(L^{\infty }\)-measure of non-exchangeability for bivariate extreme value and Archimax copulas
• A goodness-of-fit test for bivariate extreme-value copulas
• Asymptotic approximations for probability integrals
• Conditional quantiles and tail dependence
• Extremes of nonexchangeability
• How non-symmetric can a copula be?
• Intermediate tail dependence: a review and some new results
• Introduction to statistical limit theorem
• Maximal non-exchangeability in dimension d
• Measures of non-exchangeability for bivariate random vectors
• Multivariate dependence modeling based on comonotonic factors
• Paths and indices of maximal tail dependence
• Strength of tail dependence based on conditional tail expectation
• Tail order and intermediate tail dependence of multivariate copulas
• Tests of symmetry for bivariate copulas

Cited in

(3)

• Scoring a goal optimally in a soccer game under Liouville-like quantum gravity action
• Optimal lock-down intensity: a stochastic pandemic control approach of path integral
• Measuring non-exchangeable tail dependence using tail copulas

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