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Fitting heavy-tailed mixture models with CVaR constraints CVaR约束下重尾混合模型的拟合
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0019
Giorgi Pertaia, S. Uryasev
{"title":"Fitting heavy-tailed mixture models with CVaR constraints","authors":"Giorgi Pertaia, S. Uryasev","doi":"10.1515/demo-2019-0019","DOIUrl":"https://doi.org/10.1515/demo-2019-0019","url":null,"abstract":"Abstract Standard methods of fitting finite mixture models take into account the majority of observations in the center of the distribution. This paper considers the case where the decision maker wants to make sure that the tail of the fitted distribution is at least as heavy as the tail of the empirical distribution. For instance, in nuclear engineering, where probability of exceedance (POE) needs to be estimated, it is important to fit correctly tails of the distributions. The goal of this paper is to supplement the standard methodology and to assure an appropriate heaviness of the fitted tails. We consider a new Conditional Value-at-Risk (CVaR) distance between distributions, that is a convex function with respect to weights of the mixture. We have conducted a case study demonstrating e˚ciency of the approach. Weights of mixture are found by minimizing CVaR distance between the mixture and the empirical distribution. We have suggested convex constraints on weights, assuring that the tail of the mixture is as heavy as the tail of empirical distribution.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"365 - 374"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0019","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46640222","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case 超越完全单调情况的分层阿基米德联结的仿真算法
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0010
Jan-Frederik Mai
{"title":"Simulation algorithms for hierarchical Archimedean copulas beyond the completely monotone case","authors":"Jan-Frederik Mai","doi":"10.1515/demo-2019-0010","DOIUrl":"https://doi.org/10.1515/demo-2019-0010","url":null,"abstract":"Abstract Two simulation algorithms for hierarchical Archimedean copulas in the case when intra-group generators are not necessarily completely monotone are presented. Both generalize existing algorithms for the completely monotone case. The underlying stochastic models for both algorithms arise as a particular instance of a more general probability space studied recently in Ressel, P. (2018): A multivariate version of Williamson’s theorem, ℓ1-symmetric survival functions, and generalized Archimedean copulas. Depend. Model. 6, 356–368. On this probability space the inter-group dependence need not be Archimedean, however, we highlight two particular circumstances that guarantee that a hierarchical Archimedean copula is obtained.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"202 - 214"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0010","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"42366965","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions 重尾分布条件位置尺度族中尾指数的估计
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0021
A. A. Ahmad, E. Deme, A. Diop, S. Girard
{"title":"Estimation of the tail-index in a conditional location-scale family of heavy-tailed distributions","authors":"A. A. Ahmad, E. Deme, A. Diop, S. Girard","doi":"10.1515/demo-2019-0021","DOIUrl":"https://doi.org/10.1515/demo-2019-0021","url":null,"abstract":"Abstract We introduce a location-scale model for conditional heavy-tailed distributions when the covariate is deterministic. First, nonparametric estimators of the location and scale functions are introduced. Second, an estimator of the conditional extreme-value index is derived. The asymptotic properties of the estimators are established under mild assumptions and their finite sample properties are illustrated both on simulated and real data.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"394 - 417"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0021","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44874023","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
A latent class analysis towards stability and changes in breadwinning patterns among coupled households 对夫妇家庭养家糊口模式的稳定性和变化的潜在阶级分析
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0012
F. Pennoni, M. Nakai
{"title":"A latent class analysis towards stability and changes in breadwinning patterns among coupled households","authors":"F. Pennoni, M. Nakai","doi":"10.1515/demo-2019-0012","DOIUrl":"https://doi.org/10.1515/demo-2019-0012","url":null,"abstract":"Abstract A latent class model is proposed to examine couples’ breadwinning typologies and explain the wage differentials according to the socio-demographic characteristics of the society with data collected through surveys. We derive an ordinal variable indicating the couple’s income provision-role type and suppose the existence of an underlying discrete latent variable to model the effect of covariates. We use a two-step maximum likelihood inference conducted to account for concomitant variables, informative sampling scheme and missing responses. The weighted log-likelihood is maximised through the Expectation-Maximization algorithm and information criteria are used to develop the model selection. Predictions are made on the basis of the maximum posterior probabilities. Disposing of data collected in Japan over thirty years we compare couples’ breadwinning patterns across time. We provide some evidence of the gender wage-gap and we show that it can be attributed to the fact that, especially in Japan, duties and responsibilities for the child care are supported exclusively by women.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"234 - 246"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0012","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"49070563","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 4
Optimal bandwidth selection for recursive Gumbel kernel density estimators 递归Gumbel核密度估计的最优带宽选择
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0020
Y. Slaoui
{"title":"Optimal bandwidth selection for recursive Gumbel kernel density estimators","authors":"Y. Slaoui","doi":"10.1515/demo-2019-0020","DOIUrl":"https://doi.org/10.1515/demo-2019-0020","url":null,"abstract":"Abstract In this paper, we propose a data driven bandwidth selection of the recursive Gumbel kernel estimators of a probability density function based on a stochastic approximation algorithm. The choice of the bandwidth selection approaches is investigated by a second generation plug-in method. Convergence properties of the proposed recursive Gumbel kernel estimators are established. The uniform strong consistency of the proposed recursive Gumbel kernel estimators is derived. The new recursive Gumbel kernel estimators are compared to the non-recursive Gumbel kernel estimator and the performance of the two estimators are illustrated via simulations as well as a real application.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"375 - 393"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0020","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"48183277","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 0
The world of vines 藤蔓的世界
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0008
C. Genest, M. Scherer
{"title":"The world of vines","authors":"C. Genest, M. Scherer","doi":"10.1515/demo-2019-0008","DOIUrl":"https://doi.org/10.1515/demo-2019-0008","url":null,"abstract":"Claudia Czado is an Associate Professor of Applied Mathematical Statistics at Technische Universität München (TUM), Germany. She received a Diplom in Mathematics from Georg-August-Universität in Göttingen in 1984, and anMSc in Operations Research and Industrial Engineering from Cornell University, Ithaca, NY, in 1987. Her PhD, completed in 1989, is also from Cornell. Her rst regular academic appointment was at York University, Toronto, Canada, as an Assistant Professor. She was promoted to the rank of Associate Professor with tenure in 1994. In 1998, she returned to Germany and took up her present position in the Department of Mathematics at TUM. She is the author or coauthor of over 125 research articles and two books published by Springer: a 2011 German-language textbook with Thorsten Schmidt titled “Mathematische Statistik”, and a 2019 solo monograph on “Analyzing Dependent Data with Vine Copulas: A Practical Guide with R”.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"169 - 180"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0008","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"46236024","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
On the lower bound of Spearman’s footrule 在斯皮尔曼脚的下界
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0005
S. Fuchs, Yann McCord
{"title":"On the lower bound of Spearman’s footrule","authors":"S. Fuchs, Yann McCord","doi":"10.1515/demo-2019-0005","DOIUrl":"https://doi.org/10.1515/demo-2019-0005","url":null,"abstract":"Abstract Úbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is sharp in the case where d = 2. The present paper provides characterizations of the copulas attaining the lower bound of multivariate Spearman’s footrule in terms of the copula measure but also via the copula’s diagonal section.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"126 - 132"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0005","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44432943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 5
Structural change in the link between oil and the European stock market: implications for risk management 石油与欧洲股市之间联系的结构性变化：对风险管理的影响
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0004
Javier Ojea Ferreiro
{"title":"Structural change in the link between oil and the European stock market: implications for risk management","authors":"Javier Ojea Ferreiro","doi":"10.1515/demo-2019-0004","DOIUrl":"https://doi.org/10.1515/demo-2019-0004","url":null,"abstract":"Abstract The relationship between the European stock market and the crude oil depends on the significance of the different industries in the European economy. The literature points to a structural change after the 2008 crisis without getting into details of which sectors lead this regime switch. The co-movement between oil prices and stock market is known to exhibit (1) non-linearity, (2) asymmetric tail dependence and (3) variation over time. I combine a copula approach with Switching Markov models to capture this complex linkage while the CoVaR measure translates the consequences of the tail dependence into potential losses. The results indicate a change in the lower tail dependence from negative to positive association between oil and Eurostoxx, meaning a shift in the exposure of our stock portfolio to commodity risk. There is a structural change in dependence after the 2008 financial crisis led by energy-intensive sector, e.g. basic materials and consumer goods. The economic cycle and its implications for profit margin and oil demand might explain this switch. Healthcare sector responds to oil shocks in an opposite way than Eurostoxx, displaying useful features to reduce the exposure of the stock portfolio to oil spillovers.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"125 - 53"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0004","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"47126202","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 7
Copulas, stable tail dependence functions, and multivariate monotonicity Copulas、稳定的尾部依赖函数和多元单调性
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0013
P. Ressel
{"title":"Copulas, stable tail dependence functions, and multivariate monotonicity","authors":"P. Ressel","doi":"10.1515/demo-2019-0013","DOIUrl":"https://doi.org/10.1515/demo-2019-0013","url":null,"abstract":"Abstract For functions of several variables there exist many notions of monotonicity, three of them being characteristic for resp. distribution, survival and co-survival functions. In each case the “degree” of monotonicity is just the basic one of a whole scale. Copulas are special distribution functions, and stable tail dependence functions are special co-survival functions. It will turn out that for both classes the basic degree of monotonicity is the only one possible, apart from the (trivial) independence functions. As a consequence a “nesting” of such functions depends on particular circumstances. For nested Archimedean copulas the rather restrictive conditions known so far are considerably weakened.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"247 - 258"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0013","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"44651728","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 8
Dependence measure for length-biased survival data using copulas 使用copula进行长度偏倚生存数据的相关性测量
IF 0.7
Dependence Modeling Pub Date : 2019-01-01 DOI: 10.1515/demo-2019-0018
Rachid Bentoumi, M. Mesfioui, M. Alvo
{"title":"Dependence measure for length-biased survival data using copulas","authors":"Rachid Bentoumi, M. Mesfioui, M. Alvo","doi":"10.1515/demo-2019-0018","DOIUrl":"https://doi.org/10.1515/demo-2019-0018","url":null,"abstract":"Abstract The linear correlation coefficient of Bravais-Pearson is considered a powerful indicator when the dependency relationship is linear and the error variate is normally distributed. Unfortunately in finance and in survival analysis the dependency relationship may not be linear. In such case, the use of rank-based measures of dependence, like Kendall’s tau or Spearman rho are recommended. In this direction, under length-biased sampling, measures of the degree of dependence between the survival time and the covariates appear to have not received much intention in the literature. Our goal in this paper, is to provide an alternative indicator of dependence measure, based on the concept of information gain, using the parametric copulas. In particular, the extension of the Kent’s [18] dependence measure to length-biased survival data is proposed. The performance of the proposed method is demonstrated through simulations studies.","PeriodicalId":43690,"journal":{"name":"Dependence Modeling","volume":"7 1","pages":"348 - 364"},"PeriodicalIF":0.7,"publicationDate":"2019-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://sci-hub-pdf.com/10.1515/demo-2019-0018","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"67145534","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}
引用次数: 1
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