An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence
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 t...
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| Format: | Article |
| Language: | English |
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Wiley
2014-01-01
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| Series: | Journal of Probability and Statistics |
| Online Access: | http://dx.doi.org/10.1155/2014/913621 |
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| _version_ | 1832565233343791104 |
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| author | Marta Ferreira Sérgio Silva |
| author_facet | Marta Ferreira Sérgio Silva |
| author_sort | Marta Ferreira |
| collection | DOAJ |
| description | 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. |
| format | Article |
| id | doaj-art-53fa3c021fea48239ec7a62c117b7053 |
| institution | Kabale University |
| issn | 1687-952X 1687-9538 |
| language | English |
| publishDate | 2014-01-01 |
| publisher | Wiley |
| record_format | Article |
| series | Journal of Probability and Statistics |
| spelling | doaj-art-53fa3c021fea48239ec7a62c117b70532025-02-03T01:08:59ZengWileyJournal of Probability and Statistics1687-952X1687-95382014-01-01201410.1155/2014/913621913621An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependenceMarta Ferreira0Sérgio Silva1Department of Mathematics and Applications, Center of Mathematics, Minho University, Campus de Gualtar, 4710-057 Braga, PortugalDepartment of Mathematics and Applications, Minho University, Campus de Gualtar, 4710-057 Braga, PortugalMeasuring 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.http://dx.doi.org/10.1155/2014/913621 |
| spellingShingle | Marta Ferreira Sérgio Silva An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence Journal of Probability and Statistics |
| title | An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence |
| title_full | An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence |
| title_fullStr | An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence |
| title_full_unstemmed | An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence |
| title_short | An Analysis of a Heuristic Procedure to Evaluate Tail (in)dependence |
| title_sort | analysis of a heuristic procedure to evaluate tail in dependence |
| url | http://dx.doi.org/10.1155/2014/913621 |
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