Posts Tagged ‘ tail ’

Copulas and tail dependence, part 2

September 18, 2012
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Copulas and tail dependence, part 2

An alternative to describe tail dependence can be found in the Ledford & Tawn (1996) for instance. The intuition behind can be found in Fischer & Klein (2007)). Assume that and have the same distribution. Now, if we assume that those vari...

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Copulas and tail dependence, part 1

September 17, 2012
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Copulas and tail dependence, part 1

As mentioned in the course last week Venter (2003) suggested nice functions to illustrate tail dependence (see also some slides used in Berlin a few years ago). Joe (1990)'s lambda Joe (1990) suggested a (strong) tail dependence index. For lower t...

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MAT8886 a short word on profile likelihood

February 7, 2012
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MAT8886 a short word on profile likelihood

Profile likelihood is an interesting theory to visualize and compute confidence interval for estimators (see e.g. Venzon & Moolgavkar (1988)). As we will use is, we will plot But more generally, it is possible to consider where . Then (...

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Useful functions for data frames

August 9, 2010
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The R software system is primarily command line based so when there are large sets of data it is not easy to browse the data frames. There are various useful functions for working with data frames. For example, after loading data from a text file we might want to view the first few lines of a

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