Related papers: Measuring and testing tail equivalence

In this paper we propose a new approach to estimation of the tail exponent in financial stock markets. We begin the study with the finite sample behavior of the Hill estimator under {\alpha}-stable distributions. Using large Monte Carlo…

We introduce novel information-theoretic measures termed the multivariate cumulative copula fractional inaccuracy measure and the multivariate survival copula fractional inaccuracy measure, constructed respectively from multivariate copulas…

Peaks signify important events in a signal. In a pair of signals how peaks are occurring with mutual correspondence may offer us significant insights into the mutual interdependence between the two signals based on important events. In this…

We study the asymptotic behaviour of widely used tests for evaluating and comparing predictive accuracy when forecast errors exhibit heavy tails. In particular, when loss differentials have infinite variance, the Diebold-Mariano test…

Motivated by a bidimensional discrete-time risk model in insurance, we study the second-order asymptotics for two kinds of tail probabilities of the stochastic discounted value of aggregate net losses including two business lines. These are…

This article studies tail behavior for the error components in the stochastic frontier model, where one component has bounded support on one side, and the other has unbounded support on both sides. Under weak assumptions on the error…

Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…

We present a novel method for testing the hypothesis of equality of two correlation matrices using paired high-dimensional datasets. We consider test statistics based on the average of squares, maximum and sum of exceedances of Fisher…

The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme value theory literature, various techniques are available to…

Predicting the occurrence of tail events is of great importance in financial risk management. By employing the method of peak-over-threshold (POT) to identify the financial extremes, we perform a recurrence interval analysis (RIA) on these…

Bell inequalities are one of the cornerstones of quantum foundations, and fundamental tools for quantum technologies. Recently, the scientific community worldwide has put a lot of effort towards them, which culminated with loophole-free…

We consider the tail probabilities of stock returns for a general class of stochastic volatility models. In these models, the stochastic differential equation for volatility is autonomous, time-homogeneous and dependent on only a finite…

Consider an odd-sized jury, which determines a majority verdict between two equiprobable states of Nature. If each juror independently receives a binary signal identifying the correct state with identical probability $p$, then the…

We study distributional similarity measures for the purpose of improving probability estimation for unseen cooccurrences. Our contributions are three-fold: an empirical comparison of a broad range of measures; a classification of similarity…

We present sharp tail asymptotics for the density and the distribution function of linear combinations of correlated log-normal random variables, that is, exponentials of components of a correlated Gaussian vector. The asymptotic behavior…

Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive. The asymptotic distribution of a vector of nonparametric,…

Likelihood-based procedures are a common way to estimate tail dependence parameters. They are not applicable, however, in non-differentiable models such as those arising from recent max-linear structural equation models. Moreover, they can…

The long-time behavior of the velocity autocorrelation function in a classical two-dimensional electric conduction system is studied by the molecular dynamics simulation. In equilibrium, the effect of coexistence of many-body interactions…

Assessing dependence within co-movements of financial instruments has been of much interest in risk management. Typically, indices of tail dependence are used to quantify the strength of such dependence, although many of the indices…

In situations where both extreme and non-extreme data are of interest, modelling the whole data set accurately is important. In a univariate framework, modelling the bulk and tail of a distribution has been extensively studied before.…