Space‐efficient estimation of empirical tail dependence coefficients for bivariate data streams
نویسندگان
چکیده
منابع مشابه
A note on nonparametric estimation of bivariate tail dependence
Nonparametric estimation of tail dependence can be based on a standardization of the marginals if their cumulative distribution functions are known. In this paper it is shown to be asymptotically more efficient if the additional knowledge of the marginals is ignored and estimators are based on ranks. The discrepancy between the two estimators is shown to be substantial for the popular Clayton m...
متن کاملEstimation of Count Data using Bivariate Negative Binomial Regression Models
Abstract Negative binomial regression model (NBR) is a popular approach for modeling overdispersed count data with covariates. Several parameterizations have been performed for NBR, and the two well-known models, negative binomial-1 regression model (NBR-1) and negative binomial-2 regression model (NBR-2), have been applied. Another parameterization of NBR is negative binomial-P regression mode...
متن کاملNonparametric estimation of tail dependence
Dependencies of extreme events (extremal dependencies) are attracting an increasing attention in modern risk management. In practice, the concept of tail dependence represents the current standard to describe the amount of extremal dependence. In theory, multivariate extreme-value theory (EVT) turns out to be the natural choice to model the latter dependencies. The present paper embeds tail dep...
متن کاملTail dependence in bivariate skew-Normal and skew-t distributions
Quantifying dependence between extreme values is a central problem in many theoretical and applied studies. The main distinction is between asymptotically independent and asymptotically dependent extremes, with important theoretical examples of these general limiting classes being the extremal behaviour of a bivariate Normal distribution, for asymptotic independence, and of the bivariate t dist...
متن کاملTail dependence for weighted mean of two copula function
In this paper, we study the properties of power weighted means, arithmetic, geometry and harmonic for two copulas.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Statistical Analysis and Data Mining: The ASA Data Science Journal
سال: 2019
ISSN: 1932-1864,1932-1872
DOI: 10.1002/sam.11439