1. Multivariate Tail Coefficients: Properties and Estimation
- Author
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Irène Gijbels, Vojtěch Kika, and Marek Omelka
- Subjects
archimedean copula ,consistency ,estimation ,extreme-value copula ,tail dependency ,multivariate analysis ,Science ,Astrophysics ,QB460-466 ,Physics ,QC1-999 - Abstract
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.
- Published
- 2020
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