A note on the view of the Pickands dependence function as a Lorenz curve

2019 ◽  
Author(s):  
Andrea Fontanari ◽  
Pasquale Cirillo
Keyword(s):  
Lorenz Curve ◽  
Dependence Function ◽  
Pickands Dependence Function

scholarly journals New estimators of the Pickands dependence function and a test for extreme-value dependence

2011 ◽  
Vol 39 (4) ◽  
pp. 1963-2006 ◽  
Author(s):  
Axel Bücher ◽  
Holger Dette ◽  
Stanislav Volgushev
Keyword(s):  
Extreme Value ◽  
Dependence Function ◽  
Pickands Dependence Function

scholarly journals Local robust estimation of the Pickands dependence function

2018 ◽  
Vol 46 (6A) ◽  
pp. 2806-2843 ◽  
Author(s):  
Mikael Escobar-Bach ◽  
Yuri Goegebeur ◽  
Armelle Guillou
Keyword(s):  
Robust Estimation ◽  
Dependence Function ◽  
Pickands Dependence Function

Classification Method of Population Density Map Based on Lorenz Curve

2010 ◽  
Vol 11 (6) ◽  
pp. 833-838 ◽  
Author(s):  
Jiafu HAN ◽  
Hongsheng LI ◽  
Zhong ZHANG
Keyword(s):  
Population Density ◽  
Lorenz Curve ◽  
Classification Method ◽  
Density Map

scholarly journals Dependence Modeling in Energy Markets using Sibuya-type Copulas

2017 ◽  
Vol 6 (3) ◽  
pp. 43
Author(s):  
Nikolai Kolev ◽  
Jayme Pinto
Keyword(s):  
Goodness Of Fit ◽  
Basic Assumption ◽  
Energy Markets ◽  
Dependence Structure ◽  
Dependence Function ◽  
Dependence Modeling ◽  
Goodness Of Fit Tests ◽  
Oil And Natural Gas ◽  
Error Terms ◽  
Time Invariant

The dependence structure between 756 prices for futures on crude oil and natural gas traded on NYMEX is analyzed  using  a combination of novel time-series and copula tools.  We model the log-returns on each commodity individually by Generalized Autoregressive Score models and account for dependence between them by fitting various copulas to corresponding  error terms. Our basic assumption is that the dependence structure may vary over time, but the ratio between the joint distribution of error terms and the product of marginal distributions (e.g., Sibuya's dependence function) remains the same, being time-invariant.  By performing conventional goodness-of-fit tests, we select the best copula, being member of the currently  introduced class of  Sibuya-type copulas.

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