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math.PR2014
Paths and indices of maximal tail dependence
Edward Furman, Jianxi Su, Ričardas Zitikis
We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements o…
stat.AP2014
Measuring the lack of monotonicity in functions
Danang Teguh Qoyyimi, Ricardas Zitikis
Problems in econometrics, insurance, reliability engineering, and statistics quite often rely on the assumption that certain functions are non-decreasing. To satisfy this requireme…