取决于尾部 Copula

J Pub Date : 2024-04-03 DOI:10.3390/j7020008
P. Pramanik
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引用次数: 0

摘要

在现实世界中,我们会遇到不可交换的依赖结构。我们的主要重点是识别和量化联合分布尾部的非交换性。本研究的发现和方法对于二元依赖性建模特别有价值,尤其是在理解尾部依赖模式至关重要的领域,如定量金融、定量风险管理和计量经济学。为了把握依赖强度与各类边际之间错综复杂的关系,我们探讨了单变量边际的三种基本尾部行为模式。利用尾部非交换性结构的概率特征,我们引入了图形技术和统计检验,用于分析可能在联合尾部表现出非交换性的数据。我们将通过模拟研究和实际案例来说明所建议方法的有效性。
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Dependence on Tail Copula
In real-world scenarios, we encounter non-exchangeable dependence structures. Our primary focus is on identifying and quantifying non-exchangeability in the tails of joint distributions. The findings and methodologies presented in this study are particularly valuable for modeling bivariate dependence, especially in fields where understanding dependence patterns in the tails is crucial, such as quantitative finance, quantitative risk management, and econometrics. To grasp the intricate relationship between the strength of dependence and various types of margins, we explore three fundamental tail behavior patterns for univariate margins. Capitalizing on the probabilistic features of tail non-exchangeability structures, we introduce graphical techniques and statistical tests designed for analyzing data that may manifest non-exchangeability in the joint tail. The effectiveness of the proposed approaches is illustrated through a simulation study and a practical example.
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