Extreme dependence for multivariate data

• Tác giả: Damien Bosc, Alfred Galichon
• Ngôn ngữ: eng
• Ký hiệu phân loại: 512.5 Linear algebra
• Thông tin xuất bản: 2021
• Bộ sưu tập: Metadata
• ID: 166198

Tóm tắt

Comment: 20 pages, 8 figuresThis article proposes a generalized notion of extreme multivariate dependence between two random vectors which relies on the extremality of the cross-covariance matrix between these two vectors. Using a partial ordering on the cross-covariance matrices, we also generalize the notion of positive upper dependence. We then proposes a means to quantify the strength of the dependence between two given multivariate series and to increase this strength while preserving the marginal distributions. This allows for the design of stress-tests of the dependence between two sets of financial variables, that can be useful in portfolio management or derivatives pricing.