Related papers: Measuring and testing tail equivalence
Comparing the ranking of candidates by different voters is an important topic in social and information science with a high relevance from the point of view of practical applications. In general, ties and pairs of incomparable candidates…
Extremal dependence describes the strength of correlation between the largest observations of two variables. It is usually measured with symmetric dependence coefficients that do not depend on the order of the variables. In many cases,…
For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…
We introduce a new statistical tool (the TP-statistic and TE-statistic) designed specifically to compare the behavior of the sample tail of distributions with power-law and exponential tails as a function of the lower threshold u. One…
In this paper, we develop a comprehensive asymptotic and bootstrap theory for checkerboard-based estimation of lower and upper tail copulas under unknown marginal distributions. The estimator is constructed via local bilinear (checkerboard)…
We use the copula approach to study the structure of dependence between sell-side analysts' consensus recommendations and subsequent security returns, with a focus on asymmetric tail dependence. We match monthly vintages of I/B/E/S…
Two new symmetry tests, of integral and Kolmogorov type, based on the characterization by squares of linear statistics are proposed. The test statistics are related to the family of degenerate U-statistics. Their asymptotic properties are…
This paper measures and compares the tail risks of limit and market orders using Extreme Value Theory. The analysis examines realised tail outcomes using the Dealing 2000-2 electronic broking system based on completed transactions rather…
We propose pair copula constructed point-optimal sign tests in the context of linear and nonlinear predictive regressions with endogenous, persistent regressors, and disturbances exhibiting serial (nonlinear) dependence. The proposed…
The well-known "Janson's inequality" gives Poisson-like upper bounds for the lower tail probability \Pr(X \le (1-\eps)\E X) when X is the sum of dependent indicator random variables of a special form. We show that, for large deviations,…
Kuiper's statistic is a good measure for the difference of ideal distribution and empirical distribution in the goodness-of-fit test. However, it is a challenging problem to solve the critical value and upper tail quantile, or simply Kuiper…
A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the…
As the meta-analysis of more than one diagnostic tests can impact clinical decision making and patient health, there is an increasing body of research in models and methods for meta-analysis of studies comparing multiple diagnostic tests.…
The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but…
We study the free analogue of the classical affine fixed-point (or perpetuity) equation \[ \mathbb{X} \stackrel{d}{=} \mathbb{A}^{1/2}\mathbb{X}\,\mathbb{A}^{1/2} + \mathbb{B}, \] where $\mathbb{X}$ is assumed to be $*$-free from the pair…
Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein…
This paper investigates a statistical procedure for testing the equality of two independently estimated covariance matrices when the number of potentially dependent data vectors is large and proportional to the size of the vectors, that is,…
A record is an entry in a time series that is larger or smaller than all previous entries. If the time series consists of independent, identically distributed random variables with a superimposed linear trend, record events are positively…
Kurtosis is seen as a measure of the discrepancy between the observed data and a Gaussian distribution and is defined when the 4th moment is finite. In this work an empirical study is conducted to investigate the behaviour of the sample…
In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual…