Extremal dependence measure for functional data
Author
Abstract
Suggested Citation
DOI: 10.1016/j.jmva.2021.104887
Download full text from publisher
As the access to this document is restricted, you may want to search for a different version of it.
References listed on IDEAS
- R de Fondeville & A C Davison, 2018. "High-dimensional peaks-over-threshold inference," Biometrika, Biometrika Trust, vol. 105(3), pages 575-592.
- Anthony W. Ledford & Jonathan A. Tawn, 1997. "Modelling Dependence within Joint Tail Regions," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 59(2), pages 475-499.
- Davis, Richard & Resnick, Sidney, 1985. "More limit theory for the sample correlation function of moving averages," Stochastic Processes and their Applications, Elsevier, vol. 20(2), pages 257-279, September.
- Marc G. Genton & Simone A. Padoan & Huiyan Sang, 2015. "Multivariate max-stable spatial processes," Biometrika, Biometrika Trust, vol. 102(1), pages 215-230.
- Anthony W. Ledford & Jonathan A. Tawn, 2003. "Diagnostics for dependence within time series extremes," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(2), pages 521-543, May.
- Aneiros, Germán & Cao, Ricardo & Fraiman, Ricardo & Genest, Christian & Vieu, Philippe, 2019. "Recent advances in functional data analysis and high-dimensional statistics," Journal of Multivariate Analysis, Elsevier, vol. 170(C), pages 3-9.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Clémençon, Stephan & Huet, Nathan & Sabourin, Anne, 2024. "Regular variation in Hilbert spaces and principal component analysis for functional extremes," Stochastic Processes and their Applications, Elsevier, vol. 174(C).
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Krupskii, Pavel & Huser, Raphaël, 2024. "Max-convolution processes with random shape indicator kernels," Journal of Multivariate Analysis, Elsevier, vol. 203(C).
- Y Hoga, 2018. "A structural break test for extremal dependence in β-mixing random vectors," Biometrika, Biometrika Trust, vol. 105(3), pages 627-643.
- Fan Yang & Yi Zhang, 2024. "Asymptotics of Sum of Heavy-tailed Risks with Copulas," Papers 2411.09657, arXiv.org.
- de Haan, Laurens & Neves, Cláudia & Peng, Liang, 2008. "Parametric tail copula estimation and model testing," Journal of Multivariate Analysis, Elsevier, vol. 99(6), pages 1260-1275, July.
- Cooley, Daniel & Davis, Richard A. & Naveau, Philippe, 2010. "The pairwise beta distribution: A flexible parametric multivariate model for extremes," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2103-2117, October.
- Ferreira, Helena & Ferreira, Marta, 2012. "Tail dependence between order statistics," Journal of Multivariate Analysis, Elsevier, vol. 105(1), pages 176-192.
- Marco Rocco, 2011. "Extreme value theory for finance: a survey," Questioni di Economia e Finanza (Occasional Papers) 99, Bank of Italy, Economic Research and International Relations Area.
- Moreno Bevilacqua & Alfredo Alegria & Daira Velandia & Emilio Porcu, 2016. "Composite Likelihood Inference for Multivariate Gaussian Random Fields," Journal of Agricultural, Biological and Environmental Statistics, Springer;The International Biometric Society;American Statistical Association, vol. 21(3), pages 448-469, September.
- Ibrahim Ergen, 2014. "Tail dependence and diversification benefits in emerging market stocks: an extreme value theory approach," Applied Economics, Taylor & Francis Journals, vol. 46(19), pages 2215-2227, July.
- Horváth, Lajos & Rice, Gregory & Zhao, Yuqian, 2022. "Change point analysis of covariance functions: A weighted cumulative sum approach," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Li, Feng & Kang, Yanfei, 2018. "Improving forecasting performance using covariate-dependent copula models," International Journal of Forecasting, Elsevier, vol. 34(3), pages 456-476.
- Jonathan B. Hill, 2004. "Strong Orthogonal Decompositions and Non-Linear Impulse Response Functions for Infinite Variance Processes," Econometrics 0401001, University Library of Munich, Germany, revised 16 Dec 2005.
- Kokoszka, Piotr & Kulik, Rafał, 2023. "Principal component analysis of infinite variance functional data," Journal of Multivariate Analysis, Elsevier, vol. 193(C).
- Litimein, Ouahiba & Laksaci, Ali & Mechab, Boubaker & Bouzebda, Salim, 2023. "Local linear estimate of the functional expectile regression," Statistics & Probability Letters, Elsevier, vol. 192(C).
- Cho, Min Ho & Kurtek, Sebastian & Bharath, Karthik, 2022. "Tangent functional canonical correlation analysis for densities and shapes, with applications to multimodal imaging data," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Zhang, Zhengjun & Zhu, Bin, 2016. "Copula structured M4 processes with application to high-frequency financial data," Journal of Econometrics, Elsevier, vol. 194(2), pages 231-241.
- Moore, Kyle & Zhou, Chen, 2014. "The determinants of systemic importance," LSE Research Online Documents on Economics 59289, London School of Economics and Political Science, LSE Library.
- Ferraccioli, Federico & Sangalli, Laura M. & Finos, Livio, 2022. "Some first inferential tools for spatial regression with differential regularization," Journal of Multivariate Analysis, Elsevier, vol. 189(C).
- Xiangying Meng & Xianhua Wei, 2018. "Systematic Correlation is Priced as Risk Factor," Journal of Applied Finance & Banking, SCIENPRESS Ltd, vol. 8(6), pages 1-2.
- Pushpa Dissanayake & Teresa Flock & Johanna Meier & Philipp Sibbertsen, 2021.
"Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights,"
Mathematics, MDPI, vol. 9(21), pages 1-33, November.
- Dissanayake, Pushpa & Flock, Teresa & Meier, Johanna & Sibbertsen, Philipp, 2021. "Modelling Short- and Long-Term Dependencies of Clustered High-Threshold Exceedances in Significant Wave Heights," Hannover Economic Papers (HEP) dp-690, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
More about this item
Keywords
Functional data; Functional scores; Multivariate extremal dependence; Regular variation;All these keywords.
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:189:y:2022:i:c:s0047259x21001652. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.