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1.
This paper studies the tail behavior of the Poisson shot-noise processes with interdependent and heavy-tailed random shocks. In the presence of statistical dependence between the shock and its arrival time we establish the asymptotic behavior of the tail probability. Two examples are presented as illustrations of the main results as well. 相似文献
2.
Janet E. Heffernan 《Extremes》2000,3(3):279-290
Models characterizing the asymptotic dependence structures of bivariate distributions have been introduced by Ledford and Tawn (1996), among others, and diagnostics for such dependence behavior are presented in Coles et al. (1999). The following pages are intended as a supplement to the papers of Ledford and Tawn and Coles et al. In particular we focus on the coefficient of tail dependence, which we evaluate for a wide range of bivariate distributions. We find that for many commonly employed bivariate distributions there is little flexibility in the range of limiting dependence structure accommodated. Many distributions studied have coefficients of tail dependence corresponding to near independence or a strong form of dependence known as asymptotic dependence. 相似文献
3.
Properties of risk measures for extreme risks have become an important topic of research. In the present paper we discuss sub- and superadditivity of quantile based risk measures and show how multivariate extreme value theory yields the ideal modeling environment. Numerous examples and counter-examples highlight the applicability of the main results obtained. 相似文献
4.
The extremal coefficients are the natural dependence measures for multivariate extreme value distributions. For an m-variate distribution 2m distinct extremal coefficients of different orders exist; they are closely linked and therefore a complete set of 2m coefficients cannot take any arbitrary values. We give a full characterization of all the sets of extremal coefficients. To this end, we introduce a simple class of extreme value distributions that allows for a 1-1 mapping to the complete sets of extremal coefficients. We construct bounds that higher order extremal coefficients need to satisfy to be consistent with lower order extremal coefficients. These bounds are useful as lower order extremal coefficients are the most easily inferred from data. 相似文献
5.
This work emerges from a study of the extremal behavior of a daily maximum sea water levels series, {X i } , presented in Draisma (Duration of extremes at sea. In: Parametric and semi-parametric methods in E. V. T., pp. 137–143. PhD thesis, Erasmus, University, 2001). In its approach, a new series, {Y i }, is defined, consisting of water levels that persist for a fixed period of time. In this paper, we study the tail behavior of {Y i } , in case {X i } is independent and identically distributed (i.i.d.) and in case {X i } is a max-autoregressive sequence (we will consider two different max-autoregressive processes), whose distribution function is in the Fréchet domain of attraction. We also determine Ledford and Tawn tail dependence index (Ledford and Tawn, Biometrika 83:169–187, 1996, J. R. Stat. Soc. B 59:475–499, 1997) and we analyze the asymptotic tail dependence of the random pair (Y i , Y i + m ), in all considered cases. According to Drees (Bernoulli 9:617–657, 2003), we obtain the limit behavior of the tail empirical quantile function associated with a random sample (Y 1, Y 2,...Y n ) and hence the asymptotic normality of a class of estimators of the tail index that includes Hill estimator. Research partially supported by FCT/POCTI and POCI/FEDER. 相似文献
6.
After introducing the concept of extremal lattices we show how these can be used to construct lattice rules of a high trigonometric degree. 相似文献
7.
A Comparison of Methods for Estimating the Extremal Index 总被引:1,自引:0,他引:1
The extremal index, (01), is the key parameter when extending discussions of the limiting behavior of the extreme values from independent and identically distributed sequences to stationary sequences. As measures the limiting dependence of exceedances over a threshold u, as u tends to the upper endpoint of the distribution, it may not always be informative about the extremal dependence at levels of practical interest. Therefore we also consider a threshold-based extremal index, (u). We compare the performance of a range of different estimators for and (u) covering processes with < 1 and = 1. We find that the established methods for estimating actually estimate (u), so perform well only when (u) . For Markov processes, we introduce an estimator which is as good as the established methods when (u) but provides an improvement when (u) < = 1. We illustrate our methods using simulated data and daily rainfall measurements. 相似文献
8.
A measure of pairwise extremal dependence for spatial processes, that is marginally invariant, is introduced. This measure enables decisions to be made about whether a spatial process is asymptotically dependent, asymptotically independent or independent for any pair of locations, thus it provides fundamental diagnostic information for understanding or modeling the extreme values of a spatial process. We illustrate the properties and use of this measure through theoretical examples and applications in hydrology and oceanography. 相似文献
9.
Optimal design of coastal or offshore structures requires the estimation of extreme quantiles of oceanographic data such as wave heights and wave periods. Since there are strong correlations between oceanographic variables, it is necessary to use multivariate models in order to capture its dependencies. To achieve this, an approach based on copulas is proposed and is compared to a model based on the physical behaviour of waves. 相似文献
10.
Masaaki Harada 《Designs, Codes and Cryptography》1996,8(3):273-283
Recently the author and Kimura have considered a construction of doubly-even codes from a given doubly-even code. In this note, we show that the restricutoion of doubly-even can be removed in the above construction. As an application, at least 137 inequivalent extremal doubly-even [56,28,12] codes and at least 1000 inequivalent extremal doubly-even [40,20,8] codes are constructed from known self-dual codes. The existence of new extremal singly-even codes is also described. 相似文献
11.
考虑了Strebel点与Hamilton序列之间的关系.这个问题是Gardiner F.P.最早研究的(见[Approximation of infinite-dimensional Tcichmiiller spaces,Trans.Amer.Math.Soc.,1984,282(1):367-383]).在无限小Teichmiiller空间中,证明了范金华在[On infinitesimal Teichmüller space,Bull.Austral Math.Soc.,2008,78:293-300]中得到的使{φ_n}成为Hamilton序列的充分条件不是必要的. 相似文献
12.
Banach空间中非线性脉冲微分-积分方程的极值解 总被引:7,自引:1,他引:6
柴国庆 《数学物理学报(A辑)》2000,20(1):74-80
该文用单调迭代法结合一些新的技巧,研究了Banach空间中一阶非线性脉冲微分,积分方程初值问题极值解,在较宽松的条件下,建立了新的存在性定理,对文(3)在L3=0的结果作了本质性的改进和推广。 相似文献
13.
In this paper we investigate the tail behaviour of a random variable S which may be viewed as a functional T of a zero mean Gaussian process X, taking special interest in the situation where X obeys the structure which is typical for limiting processes occurring in nonparametric testing of (multivariate) independency and (multivariate) constancy over time. The tail behaviour of S is described by means of a constant a and a random variable R which is defined on the same probability space as S. The constant a acts as an upper bound, and is relevant for the computation of the efficiency of test statistics converging in distribution to S. The random variable R acts as a lower bound, and is instrumental in deriving approximation for the upper percentage points of S by simulation. 相似文献
14.
H. Ferreira 《Statistics & probability letters》2011,81(5):586-591
We extend the characterizations given by Takahashi (1988) for the independence and the total dependence of the univariate marginals of a multivariate extreme value distribution to its multivariate marginals. We also deal with the problem of how to measure the strength of the dependence among multivariate extremes. By presenting new definitions for the extremal coefficient, we propose measures that summarize the dependence between two multivariate extreme value distributions and preserve the main properties of the known bivariate coefficient for two univariate extreme value distributions. Finally, we illustrate these contributions to model the dependence among multivariate marginals with examples. 相似文献
15.
The Extremal Types Theorem identifies three distinct types of extremal behaviour. Two different strategies for statistical
inference for extreme values have been developed to exploit this asymptotic representation. One strategy uses a model for
which the three types are combined into a unified parametric family with the shape parameter of the family determining the
type: positive (Fréchet), zero (Gumbel), and negative (negative Weibull). This form of approach never selects the Gumbel type
as that type is reduced to a single point in a continuous parameter space. The other strategy first selects the extremal type,
based on hypothesis tests, and then estimates the best fitting model within the selected type. Such approaches ignore the
uncertainty of the choice of extremal type on the subsequent inference. We overcome these deficiencies by applying the Bayesian
inferential framework to an extended model which explicitly allocates a non-zero probability to the Gumbel type. Application
of our procedure suggests that the effect of incorporating the knowledge of the Extremal Types Theorem into the inference
for extreme values is to reduce uncertainty, with the degree of reduction depending on the shape parameter of the true extremal
distribution and the prior weight given to the Gumbel type. 相似文献
16.
祁永成 《应用数学学报(英文版)》1997,13(2):167-175
ThisresearchissupportedbytheNationalNaturalScienceFoundationofChina.1.IntroductionandTheoremsSupposethatF(x,y)isabivariatedistributionfunctionwithtwocontinuousmarginaldistributionfunctions,say,FIandF2.DefineFissaidtohaveastabletaildependencefunction(STDF)l(x,y)ifforx20andy20,whereF(x,y)~1--F(QI(x),QZ(y)).TheconceptofSTDFwasintroducedin[6].Supposethat{(Xi,K),i21}isasequenceofi.i.d.randomvectorswithdistributionF(x,y).Ifthereedestsomesequencesofconstantsan>0,on>0,b.ERandd.ER,n>1.suc… 相似文献
17.
杨旭 《数学的实践与认识》2006,36(12):193-197
针对银行操作风险损失分布的厚尾性和损失事件之间的尾部相依性,首先用单变量极值理论建立了单个损失事件计量模型,然后用多变量极值的连接函数反映了损失事件之间的尾部相依性,避免了计量中对银行操作风险的低估和对监管资本要求高估. 相似文献
18.
New methods for identifying clusters of extreme values are proposed that exploit additional knowledge of the trajectory of the process around extreme events. These methods lead directly to new estimators of cluster characteristics, such as the extremal index, which are shown to have both substantially reduced bias and greater insensitivity to cluster identification parameters than existing methods. The methods are illustrated for a range of theoretical examples and by applications to environmental and financial time series. 相似文献
19.
《Stochastic Processes and their Applications》2005,115(2):249-274
We study a formulation of regular variation for multivariate stochastic processes on the unit interval with sample paths that are almost surely right-continuous with left limits and we provide necessary and sufficient conditions for such stochastic processes to be regularly varying. A version of the Continuous Mapping Theorem is proved that enables the derivation of the tail behavior of rather general mappings of the regularly varying stochastic process. For a wide class of Markov processes with increments satisfying a condition of weak dependence in the tails we obtain simplified sufficient conditions for regular variation. For such processes we show that the possible regular variation limit measures concentrate on step functions with one step, from which we conclude that the extremal behavior of such processes is due to one big jump or an extreme starting point. By combining this result with the Continuous Mapping Theorem, we are able to give explicit results on the tail behavior of various vectors of functionals acting on such processes. Finally, using the Continuous Mapping Theorem we derive the tail behavior of filtered regularly varying Lévy processes. 相似文献
20.
Michel M. Dacorogna Ulrich A. Müller Olivier V. Pictet Casper G. de Vries 《Extremes》2001,4(2):105-127
Exciting information for risk and investment analysis is obtained from an exceptionally large and automatically filtered high frequency data set containing all the forex quote prices on Reuters during a ten-year period. It is shown how the high frequency data improve the efficiency of the tail risk cum loss estimates. We demonstrate theoretically and empirically that the heavy tail feature of foreign exchange rate returns implies that position limits for traders calculated under the industry standard normal model are either not prudent enough, or are overly conservative depending on the time horizon. 相似文献