Related papers: Measuring and testing tail equivalence
We study how to sample paths of a random walk up to the first time it crosses a fixed barrier, in the setting where the step sizes are iid with negative mean and have a regularly varying right tail. We introduce a desirable property for a…
We propose a Bayesian copula-based framework to quantify clinically interpretable joint tail risks from paired continuous biomarkers. After converting each biomarker margin to rank-based pseudo-observations, we model dependence using…
In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…
Testing copula hypothesis is of fundamental importance in the applications of copula theory. In this paper we proposed a copula hypothesis testing with copula entropy. Since copula entropy is a unified theory in probability and therefore…
Several procedures have been recently proposed to test the simplifying assumption for conditional copulas. Instead of considering pointwise conditioning events, we study the constancy of the conditional dependence structure when some…
As the data scale grows, deep recognition models often suffer from long-tailed data distributions due to the heavy imbalanced sample number across categories. Indeed, real-world data usually exhibit some similarity relation among different…
Fluctuation theorems show how coarse graining transforms microscopic symmetry into observable irreversibility. Here we ask whether an analogous symmetrybased diagnostic can be constructed for financial markets. At the microscopic level,…
We derive in this article the asymptotic behavior as well as non-asymptotical estimates of tail of distribution for self-normalized sums of random variables (r.v.) under natural classical norming. We investigate also the case of…
A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special case. The non-standard tail dependence with marginal power…
We show that the full-sample bootstrap is asymptotically valid for constructing confidence intervals for high-quantiles, tail probabilities, and other tail parameters of a univariate distribution. This resolves the doubts that have been…
We construct a new tail bound for the sum of independent random variables for situations in which the expected value of the sum is known and each random variable lies within a specified interval, which may be different for each variable.…
This paper provides comprehensive simulation results on the finite sample properties of the Diebold-Mariano (DM) test by Diebold and Mariano (1995) and the model confidence set (MCS) testing procedure by Hansen et al. (2011) applied to the…
Derivation and experimental violation of Bell-like inequalities involve the measurement of in-compatible observables. Simple complementarity forbids the existence of such joint probabilitydistribution. Moreover, the measurement of…
This study examines the varying coefficient model in tail index regression. The varying coefficient model is an efficient semiparametric model that avoids the curse of dimensionality when including large covariates in the model. In fact,…
We introduce equivalence testing procedures for linear regression analyses. Such tests can be very useful for confirming the lack of a meaningful association between a continuous outcome and a continuous or binary predictor. Specifically,…
We consider two different portfolios of proportional reinsurance of the same pool of risks. This contribution is concerned with Gaussian-like risks, which means that for large values the survival function of such risks is, up to a…
This paper proposes a novel asymmetric copula based upon bivariate split normal distribution. This copula can change correlation signs of its upper and lower tails of distribution independently. As an application, it is shown by the rolling…
A bioequivalence study is a type of clinical trial designed to compare the biological equivalence of two different formulations of a drug. Such studies are typically conducted in controlled clinical settings with human subjects, who are…
Consider Bernoulli(1/2) percolation on $\Z^d$, and define a perfect matching between open and closed vertices in a way that is a deterministic equivariant function of the configuration. We want to find such matching rules that make the…
We address the problem of estimating the Weibull tail-coefficient which is the regular variation exponent of the inverse failure rate function. We propose a family of estimators of this coefficient and an associate extreme quantile…