An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence
Company: Journal of Probability and Statistics
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Year Of Publication: 2014
Month Of Publication: December
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Pages: 15
Download Count: 0
View Count: 1421
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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