The Dependence Structure for Symmetric $$\alpha $$ α -stable CARMA(p,q) Processes

2015 ◽  
pp. 189-206
Author(s):  
Agnieszka Wylomanska
Keyword(s):  
Dependence Structure

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.

scholarly journals Measuring compound flood potential from river discharge and storm surge extremes at the global scale

2020 ◽  
Vol 20 (2) ◽  
pp. 489-504 ◽  
Author(s):  
Anaïs Couasnon ◽  
Dirk Eilander ◽  
Sanne Muis ◽  
Ted I. E. Veldkamp ◽  
Ivan D. Haigh ◽  
...  
Keyword(s):  
Storm Surge ◽  
River Discharge ◽  
Flood Hazard ◽  
Joint Probability ◽  
Global Scale ◽  
Statistical Dependence ◽  
Dependence Structure ◽  
Meteorological Forcing ◽  
Continental Scale ◽  
Bivariate Dependence

Abstract. The interaction between physical drivers from oceanographic, hydrological, and meteorological processes in coastal areas can result in compound flooding. Compound flood events, like Cyclone Idai and Hurricane Harvey, have revealed the devastating consequences of the co-occurrence of coastal and river floods. A number of studies have recently investigated the likelihood of compound flooding at the continental scale based on simulated variables of flood drivers, such as storm surge, precipitation, and river discharges. At the global scale, this has only been performed based on observations, thereby excluding a large extent of the global coastline. The purpose of this study is to fill this gap and identify regions with a high compound flooding potential from river discharge and storm surge extremes in river mouths globally. To do so, we use daily time series of river discharge and storm surge from state-of-the-art global models driven with consistent meteorological forcing from reanalysis datasets. We measure the compound flood potential by analysing both variables with respect to their timing, joint statistical dependence, and joint return period. Our analysis indicates many regions that deviate from statistical independence and could not be identified in previous global studies based on observations alone, such as Madagascar, northern Morocco, Vietnam, and Taiwan. We report possible causal mechanisms for the observed spatial patterns based on existing literature. Finally, we provide preliminary insights on the implications of the bivariate dependence behaviour on the flood hazard characterisation using Madagascar as a case study. Our global and local analyses show that the dependence structure between flood drivers can be complex and can significantly impact the joint probability of discharge and storm surge extremes. These emphasise the need to refine global flood risk assessments and emergency planning to account for these potential interactions.

Dependence structure between money and economic activity: A Markov-switching copula VEC approach

2021 ◽  
pp. 1-17
Author(s):  
Apostolos Serletis ◽  
Libo Xu
Keyword(s):  
Error Correction ◽  
Economic Activity ◽  
Regime Switching ◽  
Markov Switching ◽  
Tail Dependence ◽  
Error Correction Model ◽  
Dependence Structure ◽  
Copula Models ◽  
Correction Model ◽  
Dependence Structures

Abstract This paper examines correlation and dependence structures between money and the level of economic activity in the USA in the context of a Markov-switching copula vector error correction model. We use the error correction model to focus on the short-run dynamics between money and output while accounting for their long-run equilibrium relationship. We use the Markov regime-switching model to account for instabilities in the relationship between money and output, and also consider different copula models with different dependence structures to investigate (upper and lower) tail dependence.

scholarly journals Using a Groundwater Adjusted Water Balance Approach and Copulas to Evaluate Spatial Patterns and Dependence Structures in Remote Sensing Derived Evapotranspiration Products

2021 ◽  
Vol 13 (5) ◽  
pp. 853
Author(s):  
Mohsen Soltani ◽  
Julian Koch ◽  
Simon Stisen
Keyword(s):  
Remote Sensing ◽  
Water Balance ◽  
Spatial Pattern ◽  
Spatial Patterns ◽  
Principal Component ◽  
Small Scale ◽  
Dependence Structure ◽  
Test Case ◽  
Catchment Scale ◽  
Balance Approach

This study aims to improve the standard water balance evapotranspiration (WB ET) estimate, which is typically used as benchmark data for catchment-scale ET estimation, by accounting for net intercatchment groundwater flow in the ET calculation. Using the modified WB ET approach, we examine errors and shortcomings associated with the long-term annual mean (2002–2014) spatial patterns of three remote-sensing (RS) MODIS-based ET products from MODIS16, PML_V2, and TSEB algorithms at 1 km spatial resolution over Denmark, as a test case for small-scale, energy-limited regions. Our results indicate that the novel approach of adding groundwater net in water balance ET calculation results in a more trustworthy ET spatial pattern. This is especially relevant for smaller catchments where groundwater net can be a significant component of the catchment water balance. Nevertheless, large discrepancies are observed both amongst RS ET datasets and compared to modified water balance ET spatial pattern at the national scale; however, catchment-scale analysis highlights that difference in RS ET and WB ET decreases with increasing catchment size and that 90%, 87%, and 93% of all catchments have ∆ET < ±150 mm/year for MODIS16, PML_V2, and TSEB, respectively. In addition, Copula approach captures a nonlinear structure of the joint relationship with multiple densities amongst the RS/WB ET products, showing a complex dependence structure (correlation); however, among the three RS ET datasets, MODIS16 ET shows a closer spatial pattern to the modified WB ET, as identified by a principal component analysis also. This study will help improve the water balance approach by the addition of groundwater net in the ET estimation and contribute to better understand the true correlations amongst RS/WB ET products especially over energy-limited environments.

scholarly journals Sufficiency of a Gaussian power spectrum likelihood for accurate cosmology from upcoming weak lensing surveys

2021 ◽  
Author(s):  
Robin E Upham ◽  
Michael L Brown ◽  
Lee Whittaker
Keyword(s):  
Power Spectrum ◽  
Random Noise ◽  
Power Spectra ◽  
Stage Iv ◽  
Wishart Distribution ◽  
Weak Lensing ◽  
Dependence Structure ◽  
Gaussian Fields ◽  
Non Gaussian ◽  
Parameter Constraints

Abstract We investigate whether a Gaussian likelihood is sufficient to obtain accurate parameter constraints from a Euclid-like combined tomographic power spectrum analysis of weak lensing, galaxy clustering and their cross-correlation. Testing its performance on the full sky against the Wishart distribution, which is the exact likelihood under the assumption of Gaussian fields, we find that the Gaussian likelihood returns accurate parameter constraints. This accuracy is robust to the choices made in the likelihood analysis, including the choice of fiducial cosmology, the range of scales included, and the random noise level. We extend our results to the cut sky by evaluating the additional non-Gaussianity of the joint cut-sky likelihood in both its marginal distributions and dependence structure. We find that the cut-sky likelihood is more non-Gaussian than the full-sky likelihood, but at a level insufficient to introduce significant inaccuracy into parameter constraints obtained using the Gaussian likelihood. Our results should not be affected by the assumption of Gaussian fields, as this approximation only becomes inaccurate on small scales, which in turn corresponds to the limit in which any non-Gaussianity of the likelihood becomes negligible. We nevertheless compare against N-body weak lensing simulations and find no evidence of significant additional non-Gaussianity in the likelihood. Our results indicate that a Gaussian likelihood will be sufficient for robust parameter constraints with power spectra from Stage IV weak lensing surveys.

scholarly journals The Romano–Wolf multiple-hypothesis correction in Stata

2020 ◽  
Vol 20 (4) ◽  
pp. 812-843
Author(s):  
Damian Clarke ◽  
Joseph P. Romano ◽  
Michael Wolf
Keyword(s):  
Error Rate ◽  
Multiple Testing ◽  
Original Data ◽  
Dependence Structure ◽  
Familywise Error Rate ◽  
Testing Procedures ◽  
Multiple Testing Procedures ◽  
Multiple Hypothesis ◽  
Wide Range ◽  
Performance Gains

When considering multiple-hypothesis tests simultaneously, standard statistical techniques will lead to overrejection of null hypotheses unless the multiplicity of the testing framework is explicitly considered. In this article, we discuss the Romano–Wolf multiple-hypothesis correction and document its implementation in Stata. The Romano–Wolf correction (asymptotically) controls the familywise error rate, that is, the probability of rejecting at least one true null hypothesis among a family of hypotheses under test. This correction is considerably more powerful than earlier multiple-testing procedures, such as the Bonferroni and Holm corrections, given that it takes into account the dependence structure of the test statistics by resampling from the original data. We describe a command, rwolf, that implements this correction and provide several examples based on a wide range of models. We document and discuss the performance gains from using rwolf over other multiple-testing procedures that control the familywise error rate.

scholarly journals Multivariate Tail Moments for Log-Elliptical Dependence Structures as Measures of Risks

Symmetry ◽  
2021 ◽  
Vol 13 (4) ◽  
pp. 559
Author(s):  
Zinoviy Landsman ◽  
Tomer Shushi
Keyword(s):  
Risk Measures ◽  
Short Paper ◽  
Dependence Structure ◽  
Elliptical Distributions ◽  
Tail Conditional Expectation ◽  
Special Cases ◽  
Optimal Portfolio Selection ◽  
Multivariate Risk Measures ◽  
Elliptical Models ◽  
Risk Managers

The class of log-elliptical distributions is well used and studied in risk measurement and actuarial science. The reason is that risks are often skewed and positive when they describe pure risks, i.e., risks in which there is no possibility of profit. In practice, risk managers confront a system of mutually dependent risks, not only one risk. Thus, it is important to measure risks while capturing their dependence structure. In this short paper, we compute the multivariate risk measures, multivariate tail conditional expectation, and multivariate tail covariance measure for the family of log-elliptical distributions, which captures the dependence structure of the risks while focusing on the tail of their distributions, i.e., on extreme loss events. We then study our result and examine special cases, as well as the optimal portfolio selection using such measures. Finally, we show how the given multivariate tail moments can also be computed for log-skew elliptical models based on similar approaches given for the log-elliptical case.

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