There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a multivariate distribution by modelling the marginal distributions and the dependence structure separately. For estimating dependence at high levels, the stable tail dependence function and the spectral measure are particularly convenient. These objects also lie at the basis of nonparametric techniques for modelling the dependence among extremes in the max domain of attraction setting. In case of asymptotic independence, this setting is in adequate, and more refined tail dependence coefficients exist, serving, among others, to discriminate between asymptotic dependence and independence. Throughout, the methods are illustrated on financial data.
|titre||Extreme Value Modeling and Risk Analysis|
|Sous-titre||Methods and Applications|
|Nombre de pages||23|
|Etat de la publication||Publié - 6 janv. 2016|