Abstract:We propose a simple and flexible framework that allows for a comprehensive analysis of tail interdependence in high dimensions. We use co-exceedances to capture the structure of the dependence in the tails and, relying on the concept of multiinformation, define the coefficient of tail interdependence. Within this framework, we develop statistical tests of (i) independence in the tails, (ii) goodness-of-fit of the tail interdependence structure of a hypothesized model with the one observed in the data, and (iii… Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.