The tail dependograph

DOI10.1007/S10687-019-00345-3MaRDI QIDQ2311601zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

global sensitivity analysismultivariate extreme value analysisHoeffding-Sobol decompositionpairwise indextail dependency graph

Mathematics Subject Classification ID

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)

Recommendations

• Tail dependence between order statistics
• Dependence between two multivariate extremes
• Tail dependence for multivariate copulas and its monotonicity
• Decompositions of dependence for high-dimensional extremes
• Nonparametric estimation of extremal dependence

Cites work

• scientific article; zbMATH DE number 3148821 (Why is no real title available?)
• scientific article; zbMATH DE number 1425054 (Why is no real title available?)
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• Higher order Sobol' indices
• Homogeneous distributions -- and a spectral representation of classical mean values and stable tail dependence functions
• MAX-stable models for multivariate extremes
• Modelling multivariate extreme value distributions
• Non-linear models for extremal dependence
• Simulating multivariate extreme value distributions of logistic type
• The jackknife estimate of variance
• Total interaction index: a variance-based sensitivity index for second-order interaction screening

Cited in

(5)

• Decompositions of dependence for high-dimensional extremes
• Linking the Hoeffding-sobol and Möbius formulas through a decomposition of Kuo, Sloan, Wasilkowski, and Woźniakowski
• Empirical tail copulas for functional data
• Hoeffding-Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
• Tail area revisited

Describes a project that uses

Uses Software

• qrmdata
• sensitivity
• evd

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