Related papers: Quantile-Based Effectiveness Persistence Function:…

We propose a new measure related with tail dependence in terms of correlation: quantile correlation coefficient of random variables X, Y. The quantile correlation is defined by the geometric mean of two quantile regression slopes of X on Y…

Medication adherence is a problem of widespread concern in clinical care. Poor adherence is a particular problem for patients with chronic diseases requiring long-term medication because poor adherence can result in less successful…

One of the most significant barriers to medication treatment is patients' non-adherence to a prescribed medication regimen. The extent of the impact of poor adherence on resulting health measures is often unknown, and typical analyses…

A popular measure of association is the tail dependence coefficient which measures the strength of dependence in either the lower-left or upper-right tail of a bivariate distribution. In this paper, we develop the idea of quantile…

This paper concerns estimation and inference for treatment effects in deep tails of the counterfactual distribution of unobservable potential outcomes corresponding to a continuously valued treatment. We consider two measures for the deep…

Expectile, as the minimizer of an asymmetric quadratic loss function, is a coherent risk measure and is helpful to use more information about the distribution of the considered risk. In this paper, we propose a new risk measure by replacing…

The quotient correlation is defined here as an alternative to Pearson's correlation that is more intuitive and flexible in cases where the tail behavior of data is important. It measures nonlinear dependence where the regular correlation…

We call two copulas tail equivalent if their first-order approximations in the tail coincide. As a special case, a copula is called tail symmetric if it is tail equivalent to the associated survival copula. We propose a novel measure and…

Tail risk measures are fully determined by the distribution of the underlying loss beyond its quantile at a certain level, with Value-at-Risk, Expected Shortfall and Range Value-at-Risk being prime examples. They are induced by law-based…

Recently, the concept of tail dependence has been discussed in financial applications related to market or credit risk. The multivariate extreme value theory is a proper tool to measure and model dependence, for example, of large loss…

There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the…

In this paper, we study dependence uncertainty and the resulting effects on tail risk measures, which play a fundamental role in modern risk management. We introduce the notion of a regular dependence measure, defined on multi-marginal…

Machine learning inference should be subject to stringent inference time constraints while ensuring high inference quality, especially in safety-critical (e.g., autonomous driving) and mission-critical (e.g., emotion recognition) contexts.…

Non-adherence to medications is a critical concern since nearly half of patients with chronic illnesses do not follow their prescribed medication regimens, leading to increased mortality, costs, and preventable human distress. Amongst stage…

The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…

Adherence can be defined as "the extent to which patients take their medications as prescribed by their healthcare providers"[Osterberg and Blaschke, 2005]. World Health Organization's reports point out that, in developed countries, only…

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…

The problem of estimating the coefficient of bivariate tail dependence is considered here from the robustness point of view; it combines two apparently contradictory theories of robust statistics and extreme value statistics. The usual…

This paper studies properties of functions having monotone tails. We extend Theorem 1 of Dhaene et al. (2002a) and show how the tail quantiles of a random variable transformed with a monotone tail function can be expressed as the…

The Peaks-Over Threshold is a fundamental method in the estimation of rare events such as small exceedance probabilities, extreme quantiles and return periods. The main problem with the Peaks-Over Threshold method relates to the selection…