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Assessing asymptotic tail independence: a simulation study †

Bibliographic Details
Main Author: Ferreira, Marta Susana
Publication Date: 2024
Format: Article
Language: eng
Source: Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
Download full: https://hdl.handle.net/1822/95295
Summary: The occurrence of extreme values in one variable can trigger the same in other variables, making it necessary to assess the risk of contagion. The usual dependence measures based on the central part of the data typically fail to assess extreme dependence. Within the scope of EVT, tail dependence measures were developed, such as the Ledford and Tawn coefficient that we discuss here. This is a measure of residual dependence that is particularly important when it comes to analyzing at the tail level where data are scarce. We will consider different estimation methodologies and compare them based on a simulation study. We finish with an application to real data.
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spelling Assessing asymptotic tail independence: a simulation study †coefficient of asymptotic tail independenceextreme value theorytail dependenceCiências Naturais::MatemáticasThe occurrence of extreme values in one variable can trigger the same in other variables, making it necessary to assess the risk of contagion. The usual dependence measures based on the central part of the data typically fail to assess extreme dependence. Within the scope of EVT, tail dependence measures were developed, such as the Ledford and Tawn coefficient that we discuss here. This is a measure of residual dependence that is particularly important when it comes to analyzing at the tail level where data are scarce. We will consider different estimation methodologies and compare them based on a simulation study. We finish with an application to real data.The research of the author was partially financed by Portuguese Funds through FCT (Fundação para a Ciência e a Tecnologia) within the Projects UIDB/00013/2020 and UIDP/00013/2020.MDPIUniversidade do MinhoFerreira, Marta Susana20242024-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://hdl.handle.net/1822/95295engFerreira, M. (2024). Assessing Asymptotic Tail Independence: A Simulation Study. Engineering Proceedings, 68(1), 52. https://doi.org/10.3390/engproc20240680522673-459110.3390/engproc2024068052https://www.mdpi.com/2673-4591/68/1/52info:eu-repo/semantics/openAccessreponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiainstacron:RCAAP2025-04-12T05:29:36Zoai:repositorium.sdum.uminho.pt:1822/95295Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireinfo@rcaap.ptopendoar:https://opendoar.ac.uk/repository/71602025-05-29T06:24:48.191529Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologiafalse
dc.title.none.fl_str_mv Assessing asymptotic tail independence: a simulation study †
title Assessing asymptotic tail independence: a simulation study †
spellingShingle Assessing asymptotic tail independence: a simulation study †
Ferreira, Marta Susana
coefficient of asymptotic tail independence
extreme value theory
tail dependence
Ciências Naturais::Matemáticas
title_short Assessing asymptotic tail independence: a simulation study †
title_full Assessing asymptotic tail independence: a simulation study †
title_fullStr Assessing asymptotic tail independence: a simulation study †
title_full_unstemmed Assessing asymptotic tail independence: a simulation study †
title_sort Assessing asymptotic tail independence: a simulation study †
author Ferreira, Marta Susana
author_facet Ferreira, Marta Susana
author_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ferreira, Marta Susana
dc.subject.por.fl_str_mv coefficient of asymptotic tail independence
extreme value theory
tail dependence
Ciências Naturais::Matemáticas
topic coefficient of asymptotic tail independence
extreme value theory
tail dependence
Ciências Naturais::Matemáticas
description The occurrence of extreme values in one variable can trigger the same in other variables, making it necessary to assess the risk of contagion. The usual dependence measures based on the central part of the data typically fail to assess extreme dependence. Within the scope of EVT, tail dependence measures were developed, such as the Ledford and Tawn coefficient that we discuss here. This is a measure of residual dependence that is particularly important when it comes to analyzing at the tail level where data are scarce. We will consider different estimation methodologies and compare them based on a simulation study. We finish with an application to real data.
publishDate 2024
dc.date.none.fl_str_mv 2024
2024-01-01T00:00:00Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://hdl.handle.net/1822/95295
url https://hdl.handle.net/1822/95295
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv Ferreira, M. (2024). Assessing Asymptotic Tail Independence: A Simulation Study. Engineering Proceedings, 68(1), 52. https://doi.org/10.3390/engproc2024068052
2673-4591
10.3390/engproc2024068052
https://www.mdpi.com/2673-4591/68/1/52
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv MDPI
publisher.none.fl_str_mv MDPI
dc.source.none.fl_str_mv reponame:Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
instname:FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron:RCAAP
instname_str FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
instacron_str RCAAP
institution RCAAP
reponame_str Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
collection Repositórios Científicos de Acesso Aberto de Portugal (RCAAP)
repository.name.fl_str_mv Repositórios Científicos de Acesso Aberto de Portugal (RCAAP) - FCCN, serviços digitais da FCT – Fundação para a Ciência e a Tecnologia
repository.mail.fl_str_mv info@rcaap.pt
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