Tail-dependence, exceedance sets, and metric embeddings
DOI10.1007/s10687-023-00471-zarXiv2212.01044OpenAlexW4378472588MaRDI QIDQ6144816
Sebastian Neblung, Anja Janssen, Stilian A. Stoev
Publication date: 8 January 2024
Published in: Extremes (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2212.01044
NP completenessmetric embeddingmultivariate regular variationtail-dependence matrixline metricstail-dependence coefficientsBernoulli compatibilityexceedance setsmax-stable vectorsrealization problem for TD matricesTawn-Molchanov models
Analysis of algorithms and problem complexity (68Q25) Extreme value theory; extremal stochastic processes (60G70) Probability distributions: general theory (60E05) General theory of distance geometry (51K05) Metric embeddings as related to computational problems and algorithms (68R12)
Cites Work
- Unnamed Item
- Unnamed Item
- Bernoulli and tail-dependence compatibility
- Prediction of stationary max-stable processes
- Max-stable random sup-measures with comonotonic tail dependence
- Distributionally robust inference for extreme value-at-risk
- Bounds for the sum of dependent risks having overlapping marginals
- A spectral representation for max-stable processes
- Correlation polytopes: Their geometry and complexity
- Inequalities for the extremal coefficients of multivariate extreme value distributions
- Membership testing for Bernoulli and tail-dependence matrices
- On tail dependence matrices. The realization problem for parametric families
- Homogeneous mappings of regularly varying vectors
- A note on vague convergence of measures
- An exceptional max-stable process fully parameterized by its extremal coefficients
- Tail correlation functions of max-stable processes
- The realization problem for tail correlation functions
- Extremal stochastic integrals: a parallel between max-stable processes and \(\alpha\)-stable processes
- Estimating the tail-dependence coefficient: properties and pitfalls
- Basic properties and prediction of max-ARMA processes
- Regular variation for measures on metric spaces
- The cut cone,L1 embeddability, complexity, and multicommodity flows
- A dependence measure for multivariate and spatial extreme values: Properties and inference
- Statistics of Extremes
- Theory of Random Sets
- Heavy-Tailed Time Series
- Heavy-Tail Phenomena
- Geometry of cuts and metrics
- An introduction to statistical modeling of extreme values
- Dependence measures for extreme value analyses
This page was built for publication: Tail-dependence, exceedance sets, and metric embeddings
