Multi angle

H 1 On tail dependence coefficients of transformed multivariate Archimedean copulas

Auteurs : Di Bernardino, Elena (Auteur de la Conférence)
CIRM (Editeur )

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    Résumé : This work presents the impact of a class of transformations of copulas in their upper and lower multivariate tail dependence coefficients. In particular we focus on multivariate Archimedean copulas. In the first part, we calculate multivariate transformed tail dependence coefficients when the generator of the considered transformed copula exhibits some regular variation properties, and we investigate the behavior of these coefficients in cases that are close to tail independence. We obtain new results under specific conditions involving regularly varying hazard rates of components of the transformation. These results are also valid for non-transformed Archimedean copulas. In the second part we deal with a class of particular hyperbolic transformations. We show the utility of using transformed Archimedean copulas, as they permit to build Archimedean generators exhibiting any chosen couple of lower and upper tail dependence coefficients.

    Keywords : Archimedean copulas; tail dependence coefficients; regular variation; transformations of Archimedean copulas

    Codes MSC :
    62G05 - Nonparametric estimation
    62G20 - Nonparametric asymptotic efficiency
    62H05 - Characterization and structure theory
    62H12 - Multivariate estimation

      Informations sur la Vidéo

      Langue : Anglais
      Date de publication : 08/03/16
      Date de captation : 25/02/16
      Collection : Research talks ; Probability and Statistics
      Format : MP4
      Durée : 00:29:39
      Domaine : Probability & Statistics
      Audience : Chercheurs ; Doctorants , Post - Doctorants
      Download : https://videos.cirm-math.fr/2016-02-25_di_Bernardino.mp4

    Informations sur la rencontre

    Nom de la rencontre : Thematic month on statistics - Week 4: Extremes, copulas and actuarial science / Mois thématique sur les statistiques - Semaine 4 : Extrêmes, copules et actuariat
    Organisateurs de la rencontre : Boutahar, Mohamed ; Pommeret, Denys ; Royer-Carenzi, Manuela
    Dates : 22/02/16 - 26/02/16
    Année de la rencontre : 2016
    URL Congrès : http://conferences.cirm-math.fr/1618.html

    Citation Data

    DOI : 10.24350/CIRM.V.18934503
    Cite this video as: Di Bernardino, Elena (2016). On tail dependence coefficients of transformed multivariate Archimedean copulas. CIRM. Audiovisual resource. doi:10.24350/CIRM.V.18934503
    URI : http://dx.doi.org/10.24350/CIRM.V.18934503

    Voir aussi


    1. Di Bernardino, E., & Rullière, D. (2016). On tail dependence coefficients of transformed multivariate Archimedean copulas. Fuzzy Sets and Systems, 284(1), 89-112 - http://dx.doi.org/10.1016/j.fss.2015.08.030

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