Multivariate Tail Coefficients: Properties and Estimation

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F20%3A10414193" target="_blank" >RIV/00216208:11320/20:10414193 - isvavai.cz</a>

Result on the web

<a href="https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=~pZk67eZtf" target="_blank" >https://verso.is.cuni.cz/pub/verso.fpl?fname=obd_publikace_handle&handle=~pZk67eZtf</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.3390/e22070728" target="_blank" >10.3390/e22070728</a>

Result language

angličtina

Original language name

Multivariate Tail Coefficients: Properties and Estimation

Original language description

Multivariate tail coefficients are an important tool when investigating dependencies between extreme events for different components of a random vector. Although bivariate tail coefficients are well-studied, this is, to a lesser extent, the case for multivariate tail coefficients. This paper contributes to this research area by (i) providing a thorough study of properties of existing multivariate tail coefficients in the light of a set of desirable properties; (ii) proposing some new multivariate tail measurements; (iii) dealing with estimation of the discussed coefficients and establishing asymptotic consistency; and, (iv) studying the behavior of tail measurements with increasing dimension of the random vector. A set of illustrative examples is given, and practical use of the tail measurements is demonstrated in a data analysis with a focus on dependencies between stocks that are part of the EURO STOXX 50 market index.

Czech name

—

Czech description

—

Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

—

OECD FORD branch

10103 - Statistics and probability

Project

<a href="/en/project/GA19-00015S" target="_blank" >GA19-00015S: Identification of Poverty and Social Exclusion Temporal Patterns of Households Based on Multivariate Mixed Type Panel Data</a><br>

Continuities

P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Publication year

2020

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Entropy

ISSN

1099-4300

e-ISSN

—

Volume of the periodical

22

Issue of the periodical within the volume

7

Country of publishing house

CH - SWITZERLAND

Number of pages

43

Pages from-to

728

UT code for WoS article

000554169900001

EID of the result in the Scopus database

2-s2.0-85088316724