A new class of models for bivariate joint tails

By Alexandra Ramos, Anthony Ledford. 2009

107 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/2706b2bf845d5cc711b6ac6c1abb677ea084469f

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. A. C. Davison
2. Mathieu Ribatet
3. Jennifer L. Wadsworth
4. Simone A. Padoan
5. V. Chavez‐Demoulin
6. Raphaël Huser
7. D. Elton
8. Thomas Opitz

In Finance

1. A. C. Davison
2. Thomas Opitz
3. Raphaël Huser
4. Mathieu Ribatet
5. Jennifer L. Wadsworth
6. Simone A. Padoan
7. Emeric Thibaud
8. V. Chavez‐Demoulin

In Statistics and Probability

1. A. C. Davison
2. Jennifer L. Wadsworth
3. Mathieu Ribatet
4. Thomas Opitz
5. David B. Stephenson
6. C. Ferro
7. Jonathan A. Tawn
8. V. Chavez‐Demoulin

Citations in the corpus

• Modelling across extremal dependence classes (2014, methodology): “Suitable parametric models for Hη give probability models for simultaneously extreme random variables on regions of the form (XP , YP ) ∈ (v,∞)2 for large v; see Ramos and Ledford (2009) for examples.”
• Modelling Time Series Extremes (2012, methodology): “Standard bivariate extremal models can be used to generate suitable Markov chains, and so can near-independence models (Ledford & Tawn, 1997; Bortot & Tawn, 1998; Ramos & Ledford, 2009; de Carvalho & Ramos, 2012).”
• A new representation for multivariate tail probabilities (2013, background): “Equation (3.6) has the Ramos and Ledford [19] assumption as a special case.”
• Spectral Density Ratio Models for Multivariate Extremes (2014, background): “Published applications include air quality monitoring (Heffernan and Tawn 2004), wave surge analysis (Ramos and Ledford 2009), aviation safety (Einmahl, Li, and Liu 2009), precipitation studies (Jarušková 2009), and finance (Embrechts, Lambrigger, and Wüthrich 2009).”
• Statistical Modelling of Spatial Extremes (2012, methodology): “The development of models for so-called near-independence (Ledford and Tawn, 1996, 1997; Heffernan and Tawn, 2004; Ramos and Ledford, 2009) of spatial extremal data would be very valuable.”
• Statistical Modeling of Spatial Extremes (2012, unknown): “The development of models for so-called near-independence (Ledford and Tawn, 1996, 1997; Heffernan and Tawn (2004); Ramos and Ledford (2009)) of spatial extremal data would be very valuable.”
• Extremal Dependence Indices: Improved Verification Measures for Deterministic Forecasts of Rare Binary Events (2011, background): “For example, for uncalibrated forecasts with (a+ b)/n = q 6= p, stronger conditions can be imposed to ensure that a/n behaves like κ(pq) when p is small (Ramos and Ledford 2009).”
• Geostatistics of Dependent and Asymptotically Independent Extremes (2013, unknown): “Further bivariate asymptotic independence models have been proposed, notably by Ledford and Tawn (1997) and Ramos and Ledford (2009, 2011).”