An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence
Joint Authors
Source
Journal of Probability and Statistics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-21
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
Measuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events.
A usual measure is given by the tail dependence coefficient.
The characteristics of events behave quite differently as these become more extreme, whereas we are in the class of asymptotic dependence or in the class of asymptotic independence.
The literature has emphasized the asymptotic dependent class but wrongly infers that tail dependence will result in the overestimation of extreme value dependence and consequently of the risk.
In this paper we analyze this issue through simulation based on a heuristic procedure.
American Psychological Association (APA)
Ferreira, Marta& Silva, Sérgio. 2014. An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence. Journal of Probability and Statistics،Vol. 2014, no. 2014, pp.1-15.
https://search.emarefa.net/detail/BIM-1042860
Modern Language Association (MLA)
Ferreira, Marta& Silva, Sérgio. An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence. Journal of Probability and Statistics No. 2014 (2014), pp.1-15.
https://search.emarefa.net/detail/BIM-1042860
American Medical Association (AMA)
Ferreira, Marta& Silva, Sérgio. An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence. Journal of Probability and Statistics. 2014. Vol. 2014, no. 2014, pp.1-15.
https://search.emarefa.net/detail/BIM-1042860
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1042860