Related papers: Operator Tail Densities of Multivariate Copulas

We examine the rate of decay to the limit of the tail dependence coefficient of a bivariate skew t distribution which always displays asymptotic tail dependence. It contains as a special case the usual bivariate symmetric t distribution,…

We extend the construction principle of multivariate phase-type distributions to establish an analytically tractable class of heavy-tailed multivariate random variables whose marginal distributions are of Mittag-Leffler type with arbitrary…

We develop an asymptotic theory for extremes in decomposable graphical models by presenting results applicable to a range of extremal dependence types. Specifically, we investigate the weak limit of the distribution of suitably normalised…

In this paper, we discuss some special properties of operator- valued semicircular random variables including representation of the Cauchy transform of a compactly supported probability measure in terms of their operator-valued Cauchy…

We introduce a family of copulas which are locally piecewise uniform in the interior of the unit cube of any given dimension. Within that family, the simultaneous control of tail dependencies of all projections to faces of the cube is…

A new class of copulas, termed the MGL copula class, is introduced. The new copula originates from extracting the dependence function of the multivariate generalized log-Moyal-gamma distribution whose marginals follow the univariate…

A simple version for the extension of the Taylor theorem to the operator functions was found. The expansion was done with respect to a value given by a diagonal matrix for the non-commutative case, and the coefficients are given both by…

We introduce a novel perspective by linking ordered probabilistic choice to copula theory, a mathematical framework for modeling dependencies in multivariate distributions. Each representation of ordered probabilistic choice behavior can be…

As a motivating problem, we aim to study some special aspects of the marginal distributions of the order statistics for exchangeable and (more generally) for minimally stable non-negative random variables $T_{1},...,T_{r}$. In any case, we…

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…

A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision…

Archimedean copulas generated by Laplace transforms have been extensively studied in the literature, with much of the focus on tail dependence limited only to cases where the Laplace transforms exhibit regular variation with positive tail…

We propose new methods for calculation of the discrete spectrum, the reflection amplitude and the correlation functions of boundary Liouville theory on a strip with Lorentzian signature. They are based on the structure of the vertex…

Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…

The study of Koopman and Liouville operators over reproducing kernel Hilbert spaces (RKHSs) has been gaining considerable interest over the past decade. In particular, these operators represent nonlinear dynamical systems, and through the…

Analysing dependent risks is an important task for insurance companies. A dependency is reflected in the fact that information about one random variable provides information about the likely distribution of values of another random…

We consider a multivariate heavy-tailed stochastic volatility model and analyze the large-sample behavior of its sample covariance matrix. We study the limiting behavior of its entries in the infinite-variance case and derive results for…

We prove a Lifshitz tail bound on the integrated density of states of random breather Schr\"odinger operators. The potential is composed of translated single site potentials. The single site potential is an indicator function of set $tA$…

The paper focuses on a class of light-tailed multivariate probability distributions. These are obtained via a transformation of the margins from a heavy-tailed original distribution. This class was introduced in Balkema et al. (J.…

Existing theory for multivariate extreme values focuses upon characterizations of the distributional tails when all components of a random vector, standardized to identical margins, grow at the same rate. In this paper, we consider the…