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Multivariate Tail Coefficients: Properties and Estimation
Multivariate tail coefficients are an important tool when investigating dependencies between extreme events for different components of a random vector. Although bivariate tail coefficients are well-studied, this is, to a lesser extent, the case for multivariate tail coefficients. This paper contrib...
Autores principales: | , , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
MDPI
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517269/ https://www.ncbi.nlm.nih.gov/pubmed/33286500 http://dx.doi.org/10.3390/e22070728 |
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author | Gijbels, Irène Kika, Vojtěch Omelka, Marek |
author_facet | Gijbels, Irène Kika, Vojtěch Omelka, Marek |
author_sort | Gijbels, Irène |
collection | PubMed |
description | Multivariate tail coefficients are an important tool when investigating dependencies between extreme events for different components of a random vector. Although bivariate tail coefficients are well-studied, this is, to a lesser extent, the case for multivariate tail coefficients. This paper contributes to this research area by (i) providing a thorough study of properties of existing multivariate tail coefficients in the light of a set of desirable properties; (ii) proposing some new multivariate tail measurements; (iii) dealing with estimation of the discussed coefficients and establishing asymptotic consistency; and, (iv) studying the behavior of tail measurements with increasing dimension of the random vector. A set of illustrative examples is given, and practical use of the tail measurements is demonstrated in a data analysis with a focus on dependencies between stocks that are part of the EURO STOXX 50 market index. |
format | Online Article Text |
id | pubmed-7517269 |
institution | National Center for Biotechnology Information |
language | English |
publishDate | 2020 |
publisher | MDPI |
record_format | MEDLINE/PubMed |
spelling | pubmed-75172692020-11-09 Multivariate Tail Coefficients: Properties and Estimation Gijbels, Irène Kika, Vojtěch Omelka, Marek Entropy (Basel) Article Multivariate tail coefficients are an important tool when investigating dependencies between extreme events for different components of a random vector. Although bivariate tail coefficients are well-studied, this is, to a lesser extent, the case for multivariate tail coefficients. This paper contributes to this research area by (i) providing a thorough study of properties of existing multivariate tail coefficients in the light of a set of desirable properties; (ii) proposing some new multivariate tail measurements; (iii) dealing with estimation of the discussed coefficients and establishing asymptotic consistency; and, (iv) studying the behavior of tail measurements with increasing dimension of the random vector. A set of illustrative examples is given, and practical use of the tail measurements is demonstrated in a data analysis with a focus on dependencies between stocks that are part of the EURO STOXX 50 market index. MDPI 2020-06-30 /pmc/articles/PMC7517269/ /pubmed/33286500 http://dx.doi.org/10.3390/e22070728 Text en © 2020 by the authors. Licensee MDPI, Basel, Switzerland. This article is an open access article distributed under the terms and conditions of the Creative Commons Attribution (CC BY) license (http://creativecommons.org/licenses/by/4.0/). |
spellingShingle | Article Gijbels, Irène Kika, Vojtěch Omelka, Marek Multivariate Tail Coefficients: Properties and Estimation |
title | Multivariate Tail Coefficients: Properties and Estimation |
title_full | Multivariate Tail Coefficients: Properties and Estimation |
title_fullStr | Multivariate Tail Coefficients: Properties and Estimation |
title_full_unstemmed | Multivariate Tail Coefficients: Properties and Estimation |
title_short | Multivariate Tail Coefficients: Properties and Estimation |
title_sort | multivariate tail coefficients: properties and estimation |
topic | Article |
url | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7517269/ https://www.ncbi.nlm.nih.gov/pubmed/33286500 http://dx.doi.org/10.3390/e22070728 |
work_keys_str_mv | AT gijbelsirene multivariatetailcoefficientspropertiesandestimation AT kikavojtech multivariatetailcoefficientspropertiesandestimation AT omelkamarek multivariatetailcoefficientspropertiesandestimation |