An analysis of a heuristic procedure to evaluate tail (in)dependence

Detalhes bibliográficos
Autor(a) principal: Ferreira, Marta Susana
Data de Publicação: 2014
Outros Autores: Silva, Sérgio
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: http://hdl.handle.net/1822/37243
Resumo: 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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spelling An analysis of a heuristic procedure to evaluate tail (in)dependenceTail dependenceasymptotic independenceextreme value theoryCiências Naturais::MatemáticasScience & TechnologyMeasuring 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.This research was financed by FEDER Funds through "Programa Operacional Factores de Competitividade - COMPETE" and Portuguese Funds through FCT - "Fundação para a Ciência e a Tecnologia", within the Project PEst-OE/MAT/UI0013/2014Hindawi Publishing CorporationUniversidade do MinhoFerreira, Marta SusanaSilva, Sérgio20142014-01-01T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://hdl.handle.net/1822/37243eng1687-952X10.1155/2014/913621http://www.hindawi.com/journals/jps/2014/913621/info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-21T11:55:22Zoai:repositorium.sdum.uminho.pt:1822/37243Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:44:54.854756Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv An analysis of a heuristic procedure to evaluate tail (in)dependence
title An analysis of a heuristic procedure to evaluate tail (in)dependence
spellingShingle An analysis of a heuristic procedure to evaluate tail (in)dependence
Ferreira, Marta Susana
Tail dependence
asymptotic independence
extreme value theory
Ciências Naturais::Matemáticas
Science & Technology
title_short 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_sort An analysis of a heuristic procedure to evaluate tail (in)dependence
author Ferreira, Marta Susana
author_facet Ferreira, Marta Susana
Silva, Sérgio
author_role author
author2 Silva, Sérgio
author2_role author
dc.contributor.none.fl_str_mv Universidade do Minho
dc.contributor.author.fl_str_mv Ferreira, Marta Susana
Silva, Sérgio
dc.subject.por.fl_str_mv Tail dependence
asymptotic independence
extreme value theory
Ciências Naturais::Matemáticas
Science & Technology
topic Tail dependence
asymptotic independence
extreme value theory
Ciências Naturais::Matemáticas
Science & Technology
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.
publishDate 2014
dc.date.none.fl_str_mv 2014
2014-01-01T00:00:00Z
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 http://hdl.handle.net/1822/37243
url http://hdl.handle.net/1822/37243
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 1687-952X
10.1155/2014/913621
http://www.hindawi.com/journals/jps/2014/913621/
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 Hindawi Publishing Corporation
publisher.none.fl_str_mv Hindawi Publishing Corporation
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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