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An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence
Company: Journal of Probability and Statistics
Company Url: Click here to open
Year Of Publication: 2014
Month Of Publication: December
Resource Link: Click here to open
Pages: 15
Download Count: 0
View Count: 1225
Comment Num: 0
Language: English
Source: article
Who Can Read: Free
Date: 12-24-2014
Publisher: Administrator
Summary
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.
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Author(s)
Ferreira, Marta Sign in to follow this author
Silva, Sergio Sign in to follow this author
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