An analysis of a heuristic procedure to evaluate tail (in)dependence
Autor(a) principal: | |
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Data de Publicação: | 2014 |
Outros Autores: | |
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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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 |
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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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1799132199741554688 |