Related papers: Quantile-Based Effectiveness Persistence Function:…

In this paper, we consider a simple estimator for tail dependence coefficients of a max-stable time series and show its asymptotic normality under a mild condition. The novelty of our result is that this condition does not involve mixing…

This article proposes a space-efficient approximation to empirical tail dependence coefficients of an indefinite bivariate stream of data. The approximation, which has stream-length invariant error bounds, utilises recent work on the…

The goal of this paper is an exhaustive investigation of the link between the tail measure of a regularly varying time series and its spectral tail process, independently introduced in Owada and Samorodnitsky (2012) and Basrak and Segers…

$L_p$-quantile has recently been receiving growing attention in risk management since it has desirable properties as a risk measure and is a generalization of two widely applied risk measures, Value-at-Risk and Expectile. The statistical…

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…

The paper presents an efficient method for simulating the tails of a target variable Z=h(X) which depends on a set of basic variables X=(X_1, ..., X_n). To this aim, variables X_i, i=1, ..., n are sequentially simulated in such a manner…

This paper applies risk analysis to medical problems, through the properties of nonlinear responses (convex or concave). It shows 1) necessary relations between the nonlinearity of dose-response and the statistical properties of the…

The effects of treatments on continuous outcomes can be estimated by the mean difference (i.e. by measurement units) and the relative effect scales (i.e. by percentages), both of which provide only a single effect size estimate over the…

Expectile bears some interesting properties in comparison to the industry wide expected shortfall in terms of assessment of tail risk. We study the relationship between expectile and expected shortfall using duality results and the link to…

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…

Heart failure (HF) is a severe and costly clinical syndrome associated with increased healthcare costs and a high burden of mortality and morbidity. Although drug therapy is the mainstay of treatment for heart failure, non-adherence to…

Tail averaging consists in averaging the last examples in a stream. Common techniques either have a memory requirement which grows with the number of samples to average, are not available at every timestep or do not accomodate growing…

In the world of multivariate extremes, estimation of the dependence structure still presents a challenge and an interesting problem. A procedure for the bivariate case is presented that opens the road to a similar way of handling the…

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…

Quantiles and expectiles, which are two important concepts and tools in tail risk measurements, can be regarded as an extension of median and mean, respectively. Both of these tail risk measurers can actually be embedded in a common…

Tail Gini functional is a measure of tail risk variability for systemic risks, and has many applications in banking, finance and insurance. Meanwhile, there is growing attention on aymptotic independent pairs in quantitative risk…

Online controlled experiments play a crucial role in enabling data-driven decisions across a wide range of companies. Variance reduction is an effective technique to improve the sensitivity of experiments, achieving higher statistical power…

Expectiles define the only law-invariant, coherent and elicitable risk measure apart from the expectation. The popularity of expectile-based risk measures is steadily growing and their properties have been studied for independent data, but…

This study quantifies the association between non-adherence to antipsychotic medications and adverse outcomes in individuals with schizophrenia. We frame the problem using survival analysis, focusing on the time to the earliest of several…

The q-Gaussians are a class of stable distributions which are present in many scientific fields, and that behave as heavy tailed distributions for an especific range of q values. The identification of these values, which are used in the…