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Hoeffding–Sobol decomposition of homogeneous co-survival functions : from Choquet representation to extreme value theory application

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Mercadier, Cécile ; Ressel, Paul:
Hoeffding–Sobol decomposition of homogeneous co-survival functions : from Choquet representation to extreme value theory application.
In: Dependence modeling. 9 (2021) 1. - S. 179-198.
ISSN 2300-2298

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Volltext Link zum Volltext (externe URL):
https://doi.org/10.1515/demo-2021-0108

Kurzfassung/Abstract

The paper investigates the Hoeffding–Sobol decomposition of homogeneous co-survival functions. For this class, the Choquet representation is transferred to the terms of the functional decomposition, and in addition to their individual variances, or to the superset combinations of those. The domain of integration in the resulting formulae is reduced in comparison with the already known expressions. When the function under study is the stable tail dependence function of a random vector, ranking these superset indices corresponds
to clustering the components of the random vector with respect to their asymptotic dependence. Their Choquet representation is the main ingredient in deriving a sharp upper bound for the quantities involved in the tail dependograph, a graph in extreme value theory that summarizes asymptotic dependence.

Weitere Angaben

Publikationsform:Artikel
Schlagwörter:Hoeffding–Sobol decomposition, co-survival function, spectral representation, stable tail dependence function, multivariate extreme value modeling
Sprache des Eintrags:Englisch
Institutionen der Universität:Mathematisch-Geographische Fakultät > Mathematik > Lehrstuhl für Mathematik - Stochastik (bis 2016)
DOI / URN / ID:10.1515/demo-2021-0108
Open Access: Freie Zugänglichkeit des Volltexts?:Ja
Peer-Review-Journal:Ja
Verlag:De Gruyter, Versita
Die Zeitschrift ist nachgewiesen in:
Titel an der KU entstanden:Ja
KU.edoc-ID:29277
Eingestellt am: 10. Jan 2022 13:59
Letzte Änderung: 05. Mai 2022 11:45
URL zu dieser Anzeige: https://edoc.ku.de/id/eprint/29277/
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