The realization problem for tail correlation functions

DOI10.1007/S10687-016-0250-8MaRDI QIDQ2363664zbMATH OpenOpenAlexFDO

Authors Ulf-Rainer Fiebig, Kirstin Strokorb, M. Schlather

Publication date 25 July 2017

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1405.6876, http://orca.cf.ac.uk/97230/1/fss.pdf

zbMATH Keywords

extremal coefficientconvex polytopemax-stable processTawn-Molchanov modeltail correlation functions

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Combinatorial properties of polytopes and polyhedra (number of faces, shortest paths, etc.) (52B05) Special polytopes (linear programming, centrally symmetric, etc.) (52B12) Stable stochastic processes (60G52)

Abstract: For a stochastic process ${X_t}_{tinT}$ with identical one-dimensional margins and upper endpoint $a{u}_{extup}$ its tail correlation function (TCF) is defined through $ch{i}^{(X)}(s,t)=li{m}_{auoa{u}_{extup}}P(X_s>au,mid,X_t>au)$. It is a popular bivariate summary measure that has been frequently used in the literature in order to assess tail dependence. In this article, we study its realization problem. We show that the set of all TCFs on $TimesT$ coincides with the set of TCFs stemming from a subclass of max-stable processes and can be completely characterized by a system of affine inequalities. Basic closure properties of the set of TCFs and regularity implications of the continuity of $chi$ are derived. If $T$ is finite, the set of TCFs on $TimesT$ forms a convex polytope of $lvertTvertimeslvertTvert$ matrices. Several general results reveal its complex geometric structure. Up to $lvertTvert=6$ a reduced system of necessary and sufficient conditions for being a TCF is determined. None of these conditions will become obsolete as $lvertTvertgeq3$ grows.

Recommendations

• Tail correlation functions of max-stable processes
• Characterization and construction of max-stable processes
• An exceptional max-stable process fully parameterized by its extremal coefficients
• Tail dependence functions of the bivariate Hüsler-Reiss model
• Stable tail dependence functions -- some basic properties

Cites work

• scientific article; zbMATH DE number 4004880 (Why is no real title available?)
• scientific article; zbMATH DE number 51414 (Why is no real title available?)
• A dependence measure for multivariate and spatial extreme values: Properties and inference
• A spectral representation for max-stable processes
• An exceptional max-stable process fully parameterized by its extremal coefficients
• Bayesian inference for the Brown-Resnick process, with an application to extreme low temperatures
• Bernoulli and tail-dependence compatibility
• Bivariate extreme statistics. I
• Characterization and construction of max-stable processes
• Conditional sampling for spectrally discrete max-stable random fields
• Convex geometry of max-stable distributions
• Dependence measures for extreme value analyses
• Efficient inference and simulation for elliptical Pareto processes
• Ergodic properties of max-infinitely divisible processes
• Ergodic properties of sum- and max-stable stationary random fields via null and positive group actions
• Estimating the tail-dependence coefficient: properties and pitfalls
• Estimation of Hüsler–Reiss Distributions and Brown–Resnick Processes
• Facets of the clique partitioning polytope
• Geometry of cuts and metrics
• HIGHER-ORDER ACCURATE, POSITIVE SEMIDEFINITE ESTIMATION OF LARGE-SAMPLE COVARIANCE AND SPECTRAL DENSITY MATRICES
• High-level dependence in time series models
• Inequalities for the extremal coefficients of multivariate extreme value distributions
• Lectures on Polytopes
• Max-stable random sup-measures with comonotonic tail dependence
• Necessary and sufficient conditions for the two-point phase probability function of two-phase random media
• On the ``triangular inequality in the theory of two-phase random media
• On the existence of mosaic and indicator random fields with spherical, circular, and triangular variograms
• On the nonparametric estimation of covariance functions
• Random heterogeneous materials. Microstructure and macroscopic properties
• Realisability conditions for second-order marginals of biphased media
• Regularity conditions in the realisability problem with applications to point processes and random closed sets
• Spatial modeling of extreme snow depth
• Statistics of Extremes
• Tail correlation functions of max-stable processes
• The extremogram: a correlogram for extreme events
• The realization problem for tail correlation functions
• Theory of Random Sets
• Upper bounds on value-at-risk for the maximum portfolio loss
• polymake: a framework for analyzing convex polytopes

Cited in

(12)

• \(t\)-copula from the viewpoint of tail dependence matrices
• Tail-dependence, exceedance sets, and metric embeddings
• Geometry of discrete copulas
• Bernoulli and tail-dependence compatibility
• On tail dependence matrices. The realization problem for parametric families
• Invariant correlation under marginal transforms
• Membership testing for Bernoulli and tail-dependence matrices
• Tail correlation functions of max-stable processes
• The realization problem for tail correlation functions
• Extremes and regular variation
• A study of one-factor copula models from a tail dependence perspective
• The spectrogram: a threshold-based inferential tool for extremes of stochastic processes

Describes a project that uses

Uses Software

• polymake
• R

This page was built for publication: The realization problem for tail correlation functions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2363664)