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The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on…
Codifference is a commonly used measure of dependence for stable vectors and processes for which covariance is infinite. However, we argue that it can also be used for other heavy-tail distributions and it provides useful information for…
Numerical evaluation of performance measures in heavy-tailed risk models is an important and challenging problem. In this paper, we construct very accurate approximations of such performance measures that provide small absolute and relative…
Statistical analysis of high-dimensional functional times series arises in various applications. Under this scenario, in addition to the intrinsic infinite-dimensionality of functional data, the number of functional variables can grow with…
Assessing the probability of occurrence of extreme events is a crucial issue in various fields like finance, insurance, telecommunication or environmental sciences. In a multivariate framework, the tail dependence is characterized by the…
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…
This book chapter illustrates how to apply extreme value statistics to financial time series data. Such data often exhibits strong serial dependence, which complicates assessment of tail risks. We discuss the two main approches to tail risk…
Statistical significance measures the reliability of a result obtained from a random experiment. We investigate the number of repetitions needed for a statistical result to have a certain significance. In the first step, we consider…
We study the asymptotic behavior of the difference between the values at risk VaR(L) and VaR(L+S) for heavy tailed random variables L and S for application in sensitivity analysis of quantitative operational risk management within the…
Background: In clinical research, the Bland-Altman analysis is commonly used to assess agreement of metric measurements made by two or more techniques, devices or methods. The approach can also deal with repeated measurements per subject or…
In biomedical studies, estimating drug effects on chronic diseases requires a long follow-up period, which is difficult to meet in randomized clinical trials (RCTs). The use of a short-term surrogate to replace the long-term outcome for…
Longitudinal patient data has the potential to improve clinical risk stratification models for disease. However, chronic diseases that progress slowly over time are often heterogeneous in their clinical presentation. Patients may progress…
This paper presents two results concerning uniform confidence intervals for the tail index and the extreme quantile. First, we show that it is impossible to construct a length-optimal confidence interval satisfying the correct uniform…
We introduce a new functional measure of tail dependence for weakly dependent (asymptotically independent) random vectors, termed weak tail dependence function. The new measure is defined at the level of copulas and we compute it for…
We propose a set of dependence measures that are non-linear, local, invariant to a wide range of transformations on the marginals, can show tail and risk asymmetries, are always well-defined, are easy to estimate and can be used on any…
Motivated by two case studies using primary care records from the Clinical Practice Research Datalink, we describe statistical methods that facilitate the analysis of tall data, with very large numbers of observations. Our focus is on…
For a stochastic process $\{X_t\}_{t \in T}$ with identical one-dimensional margins and upper endpoint $\tau_{\text{up}}$ its tail correlation function (TCF) is defined through $\chi^{(X)}(s,t) = \lim_{\tau \to \tau_{\text{up}}} P(X_s >…
Coherence is a widely used measure to assess linear relationships between time series. However, it fails to capture nonlinear dependencies. To overcome this limitation, this paper introduces the notion of residual spectral density as a…
We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…
Accuracy and interpretability are two dominant features of successful predictive models. Typically, a choice must be made in favor of complex black box models such as recurrent neural networks (RNN) for accuracy versus less accurate but…