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Project

Copula-based multivariate association measures and tail coefficients

The main topic of the thesis is quantification of the strength of dependence within a d-variate random vector X. The dependence structure of X is fully determined by the corresponding copula function. We investigate various ways how to summarize the strength of dependence (given by the corresponding copula) into a single number.

In particular, we focus on two types of such coefficients. The overall dependence is described by multivariate association measures which quantify the tendency of the components of X to simultaneously take large or small values. The other considered type of coefficients are multivariate tail coefficients, which focus only on tails (i.e. extremal behavior) of random variables. In other words, they quantify the tendency of the components of X to simultaneously take extremely large or extremely small values.

For both of these types of coefficients, we first study their theoretical properties, in particular the effect of adding other random variables to X. For Archimedean and meta-elliptical copulas, we also focus on the asymptotic behavior when the dimension of X grows to infinity. Further, three novel multivariate tail coefficients are proposed in the thesis. We introduce a nonparametric estimator for Gini’s gamma, as well as for several multivariate tail coefficients. Asymptotic properties, such as consistency or asymptotic normality, are proven for these estimators. Special attention is given to one of the multivariate tail coefficients called extremal dependence coefficient.  Based on the derived asymptotic representation of this estimator a procedure to choose an optimal value of the smoothing parameter is suggested. Finally, we apply the extremal dependence coefficient in a clustering algorithm, grouping components of X  with respect to their tail behavior.

Date:19 Sep 2017 →  10 Sep 2021
Keywords:multivariate data, association measures, dependence structures
Disciplines:Applied mathematics in specific fields, Computer architecture and networks, Distributed computing, Information sciences, Information systems, Programming languages, Scientific computing, Theoretical computer science, Visual computing, Other information and computing sciences, Statistics and numerical methods
Project type:PhD project