Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/37243
Título: | An analysis of a heuristic procedure to evaluate tail (in)dependence |
Autor(es): | Ferreira, Marta Susana Silva, Sérgio |
Palavras-chave: | Tail dependence asymptotic independence extreme value theory |
Data: | 2014 |
Editora: | Hindawi Publishing Corporation |
Revista: | Journal of Probability and Statistics |
Resumo(s): | Measuring tail dependence is an important issue in many applied sciences in order to quantify the risk of simultaneous extreme events. A usual measure is given by the tail dependence coefficient. The characteristics of events behave quite differently as these become more extreme, whereas we are in the class of asymptotic dependence or in the class of asymptotic independence. The literature has emphasized the asymptotic dependent class but wrongly infers that tail dependence will result in the overestimation of extreme value dependence and consequently of the risk. In this paper we analyze this issue through simulation based on a heuristic procedure. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/37243 |
DOI: | 10.1155/2014/913621 |
ISSN: | 1687-952X |
Versão da editora: | http://www.hindawi.com/journals/jps/2014/913621/ |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | CMAT - Artigos em revistas com arbitragem / Papers in peer review journals |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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ferreira_silvaf.pdf | Documento principal | 441,95 kB | Adobe PDF | Ver/Abrir |