The tail dependograph
DOI10.1007/S10687-019-00345-3zbMATH Open1419.62172OpenAlexW2921943395WikidataQ128187421 ScholiaQ128187421MaRDI QIDQ2311601FDOQ2311601
Authors: Cecile Mercadier, O. Roustant 
Publication date: 4 July 2019
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10687-019-00345-3
Recommendations
global sensitivity analysismultivariate extreme value analysisHoeffding-Sobol decompositionpairwise indextail dependency graph
Asymptotic properties of nonparametric inference (62G20) Statistics of extreme values; tail inference (62G32) Estimation in multivariate analysis (62H12) Analysis of variance and covariance (ANOVA) (62J10)
Cites Work
- Asymptotic Statistics
- Modelling multivariate extreme value distributions
- Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
- Extreme value theory. An introduction.
- The jackknife estimate of variance
- A Class of Statistics with Asymptotically Normal Distribution
- Bias correction in multivariate extremes
- MAX-stable models for multivariate extremes
- An M-Estimator of Spatial Tail Dependence
- An M-estimator for tail dependence in arbitrary dimensions
- Simulating multivariate extreme value distributions of logistic type
- Title not available (Why is that?)
- Extreme Values in Finance, Telecommunications, and the Environment
- Generalized Hoeffding-Sobol decomposition for dependent variables -- application to sensitivity analysis
- Analysing financial contagion and asymmetric market dependence with volatility indices via copulas
- Estimating Mean Dimensionality of Analysis of Variance Decompositions
- Total interaction index: a variance-based sensitivity index for second-order interaction screening
- Data-driven kriging models based on FANOVA-decomposition
- Derivative-Based Global Sensitivity Measures and Their Link with Sobol’ Sensitivity Indices
- Environmental data: multivariate extreme value theory in practice
- Title not available (Why is that?)
- Non-linear models for extremal dependence
- Estimation of quantile oriented sensitivity indices
- Higher order Sobol' indices
Cited In (5)
- Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski
- Empirical tail copulas for functional data
- Tail area revisited
- Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
- Decompositions of dependence for high-dimensional extremes
Uses Software
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