Tail Dependence for Regularly Varying Time Series
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2012, Issue 2012 (31 Dec. 2012), pp.1-14, 14 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2012-06-03
Country of Publication
Egypt
No. of Pages
14
Main Subjects
Abstract EN
We use tail dependence functions to study tail dependence for regularly varying (RV) time series.
First, tail dependence functions about RV time series are deduced through the intensity measure.
Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined.
Finally, we obtain the expressions of the tail dependence parameters based on the expectation of the RV components of the time series.
These expressions are coincided with those obtained by the conditional probability.
Some simulation examples are demonstrated to verify the results we established in this paper.
American Psychological Association (APA)
Shi, Ai-Ju& Lin, Jin-Guan. 2012. Tail Dependence for Regularly Varying Time Series. Mathematical Problems in Engineering،Vol. 2012, no. 2012, pp.1-14.
https://search.emarefa.net/detail/BIM-1001468
Modern Language Association (MLA)
Shi, Ai-Ju& Lin, Jin-Guan. Tail Dependence for Regularly Varying Time Series. Mathematical Problems in Engineering No. 2012 (2012), pp.1-14.
https://search.emarefa.net/detail/BIM-1001468
American Medical Association (AMA)
Shi, Ai-Ju& Lin, Jin-Guan. Tail Dependence for Regularly Varying Time Series. Mathematical Problems in Engineering. 2012. Vol. 2012, no. 2012, pp.1-14.
https://search.emarefa.net/detail/BIM-1001468
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1001468