多元尾依赖与局部随机优势

IF 1.4 3区数学 Q2 STATISTICS & PROBABILITY

Journal of Multivariate Analysis Pub Date : 2023-11-24 DOI:10.1016/j.jmva.2023.105267

Karl Friedrich Siburg, Christopher Strothmann

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引用次数: 0

摘要

给出了具有相应的尾相关函数的两个多元copuls，研究了自然尾相关阶与局部随机优势阶之间的关系。我们证明了这两种排序虽然在一般情况下不是等价的，但是对于一些重要的类copuls，它们是重合的，其中包括多元阿基米德copuls和二元下极值copuls。我们通过暗示风险管理来说明我们的结果的相关性。

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Multivariate tail dependence and local stochastic dominance

Given two multivariate copulas with corresponding tail dependence functions, we investigate the relation between a natural tail dependence ordering and the order of local stochastic dominance. We show that, although the two orderings are not equivalent in general, they coincide for various important classes of copulas, among them all multivariate Archimedean and bivariate lower extreme value copulas. We illustrate the relevance of our results by an implication to risk management.

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来源期刊

Journal of Multivariate Analysis 数学-统计学与概率论

CiteScore

2.40

自引率

25.00%

发文量

108

审稿时长

74 days

期刊介绍： Founded in 1971, the Journal of Multivariate Analysis (JMVA) is the central venue for the publication of new, relevant methodology and particularly innovative applications pertaining to the analysis and interpretation of multidimensional data. The journal welcomes contributions to all aspects of multivariate data analysis and modeling, including cluster analysis, discriminant analysis, factor analysis, and multidimensional continuous or discrete distribution theory. Topics of current interest include, but are not limited to, inferential aspects of Copula modeling Functional data analysis Graphical modeling High-dimensional data analysis Image analysis Multivariate extreme-value theory Sparse modeling Spatial statistics.