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- W2963358566 abstract "Data exhibiting heavy-tails in one or more dimensions is often studied using the framework of regular variation. In a multivariate setting this requires identifying specific forms of dependence in the data; this means identifying that the data tends to concentrate along particular directions and does not cover the full space. This is observed in various data sets from finance, insurance, network traffic, social networks, etc. In this paper we discuss the notions of full and strong asymptotic dependence for bivariate data along with the idea of hidden regular variation in these cases. In a risk analysis setting, this leads to improved risk estimation accuracy when regular methods provide a zero estimate of risk. Analyses of both real and simulated data sets illustrate concepts of generation and detection of such models." @default.
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- W2963358566 date "2017-03-17" @default.
- W2963358566 modified "2023-10-14" @default.
- W2963358566 title "Hidden regular variation under full and strong asymptotic dependence" @default.
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- W2963358566 doi "https://doi.org/10.1007/s10687-017-0290-8" @default.
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