多变量定向尾加权依赖性测量法

IF 16.4 1区 化学 Q1 CHEMISTRY, MULTIDISCIPLINARY
Xiaoting Li, Harry Joe
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引用次数: 0

摘要

我们为多元分布提出了一个新的方向依赖性度量系列。当 α=1 时,它们测量的是通向联合正上方或联合正下方的不同路径的依赖强度。当 α 较大时,它们就变成了尾部加权的依赖性度量,在分布的联合上尾或下尾中赋予更多权重。随着α→∞的增大,我们证明了方向依赖度量向多元尾部依赖函数的收敛,并通过渐近展开描述了收敛模式的特征。这一扩展引出了一种使用加权最小二乘法回归估计多元尾部依赖函数的方法。我们为尾部加权依赖性度量开发了基于等级的样本估计器,并建立了它们的渐近分布。通过将其应用于金融数据集,进一步证明了尾加权依赖性度量在多元尾推断中的实用性。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
Multivariate directional tail-weighted dependence measures

We propose a new family of directional dependence measures for multivariate distributions. The family of dependence measures is indexed by α1. When α=1, they measure the strength of dependence along different paths to the joint upper or lower orthant. For α large, they become tail-weighted dependence measures that put more weight in the joint upper or lower tails of the distribution. As α, we show the convergence of the directional dependence measures to the multivariate tail dependence function and characterize the convergence pattern with an asymptotic expansion. This expansion leads to a method to estimate the multivariate tail dependence function using weighted least square regression. We develop rank-based sample estimators for the tail-weighted dependence measures and establish their asymptotic distributions. The practical utility of the tail-weighted dependence measures in multivariate tail inference is further demonstrated through their application to a financial dataset.

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来源期刊
Accounts of Chemical Research
Accounts of Chemical Research 化学-化学综合
CiteScore
31.40
自引率
1.10%
发文量
312
审稿时长
2 months
期刊介绍: Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.
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