Meta densities and the shape of their sample clouds

DOI10.1016/J.JMVA.2010.02.010zbMATH Open1198.60012OpenAlexW1971096290MaRDI QIDQ972901FDOQ972901

Natalia Nolde, August A. Balkema, Paul Embrechts

Publication date: 21 May 2010

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

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.02.010

Recommendations

• Sensitivity of the limit shape of sample clouds from meta densities
• Higher order tail densities of copulas and hidden regular variation
• The shape of asymptotic dependence
• Dense classes of multivariate extreme value distributions
• Samples with a limit shape, multivariate extremes, and risk

zbMATH Keywords

level setsmultivariate extremesregular variationlimit shapesample cloudsmeta distribution

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Extreme value theory; extremal stochastic processes (60G70) Geometric probability and stochastic geometry (60D05)

Cites Work

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• The meta-elliptical distributions with given marginals
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• The frailty model.
• The Devil is in the Tails: Actuarial Mathematics and the Subprime Mortgage Crisis
• \(L_p\)-norm spherical distribution
• Hidden regular variation and the rank transform
• Convergence of scaled random samples in \({\mathbb{R}{}}^ d\)
• Almost sure limit sets of random samples in ℝ^d
• Limiting Sets and Convex Hulls of Samples from Product Measures
• High risk scenarios and extremes. A geometric approach
• Regularly varying probability densities

Cited In (15)

• Geometric interpretation of the residual dependence coefficient
• A Conversation With Paul Embrechts
• Limit theorems for Betti numbers of extreme sample clouds with application to persistence barcodes
• On \((p_{1},\dots,p_{k})\)-spherical distributions
• Linking representations for multivariate extremes via a limit set
• Modelling with star-shaped distributions
• High-dimensional star-shaped distributions
• Convergence of persistence diagrams for topological crackle
• Topological crackle of heavy-tailed moving average processes
• Samples with a limit shape, multivariate extremes, and risk
• A geometric investigation into the tail dependence of vine copulas
• Asymptotic independence for unimodal densities
• Sensitivity of the limit shape of sample clouds from meta densities
• Simulation of polyhedral convex contoured distributions
• Geometric disintegration and star-shaped distributions

Uses Software

• QRM

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