Search Results - subject:"dependence functions"

Estimating Pair-Copula Constructions Using Empirical Tail Dependence Functions: an Application to Russian Stock Market

Travkin, A. - In: Journal of the New Economic Association 25 (2015) 1, pp. 39-55

is done by minimizing the distances between theoretical and empirical tail dependence functions. This method is believed …

Persistent link: https://www.econbiz.de/10011276286

Extremes for multivariate expectiles

Maume-Deschamps, Véronique; Rullière, Didier; Said, Khalil - In: Statistics & Risk Modeling 35 (2018) 3-4, pp. 111-140

Abstract Multivariate expectiles, a new family of vector-valued risk measures, were recently introduced in the literature. [ 22 ]. Here we investigate the asymptotic behavior of these measures in a multivariate regular variation context. For models with equivalent tails, we propose an estimator...

Persistent link: https://www.econbiz.de/10014621263

When a copula is archimax

Wysocki, Włodzimierz - In: Statistics & Probability Letters 83 (2013) 1, pp. 37-45

We discuss necessary and sufficient conditions for a copula to be archimax. We give a differential equation (depending on a function parameter) whose solution gives an additive generator of an Archimedean copula. We present two important applications of this differential equation. The first...

Persistent link: https://www.econbiz.de/10011039890

Bivariate Distributions with Given Extreme Value Attractor

Capéraà, Philippe; Fougères, Anne-Laure; Genest, … - In: Journal of Multivariate Analysis 72 (2000) 1, pp. 30-49

A new class of bivariate distributions is introduced and studied, which encompasses Archimedean copulas and extreme value distributions as special cases. Its dependence structure is described, its maximum and minimum attractors are determined, and an algorithm is given for generating...

Persistent link: https://www.econbiz.de/10005199365

On the class of g-monotone dependence functions

Krajka, A. - In: Statistics & Probability Letters 39 (1998) 3, pp. 213-227

In this paper a higher class of monotone dependence functions is defined and their properties are investigated. A class … of monotone dependence functions is introduced in Kowalczyk (1987) and Kowalczyk et al. (1977). Another, one parameter … class is considered in Krajka et al. (1992). The higher class of monotone dependence functions described in this paper …

Persistent link: https://www.econbiz.de/10005074557

Multivariate normal integrals and contingency tables with ordered categories

Wang, Yuchung - In: Psychometrika 62 (1997) 2, pp. 267-284

Persistent link: https://www.econbiz.de/10005381534