对于具有非对称尾部依赖的因子模型的概率推理
1Department of Statistics, University of British Columbia, Vancouver, BC V6T 1Z4, Canada.
Entropy (Basel, Switzerland)
|July 26, 2024
概括
这项研究引入了一种新的方法,以改善对具有不对称尾部依赖的多变量非高斯数据的极端值推理. 它将先前的信息与概率分析相结合,以便更好地推断关节尾部.
科学领域:
- 统计 统计 统计 统计
- 极端价值理论 极端价值理论
- 科普拉模型的模型
背景情况:
- 使用copulas对多变量非高斯数据的概率推断经常与联合尾部依赖性作斗争.
- 标准模型可能无法准确地捕捉极端值行为,特别是尾部依赖强度.
研究的目的:
- 提出一种新的方法来增强在存在不对称尾部依赖的情况下的极端值推理.
- 改进在多变量非高斯设置中对关节尾部依赖性的评估.
主要方法:
- 建议采用贝叶斯式方法,结合先前对尾部的依赖.
- 将先前的信息与潜在的错误指定的概率结合起来,形成一个倾斜的日志概率.
- 使用贝叶斯计算或数值优化来估计后置模式和Hessian.
主要成果:
- 拟议的方法改善了对关节下部和上部尾巴的推断.
- 有效地解决了标准概率方法在捕捉尾部依赖性的局限性.
- 为具有不对称尾部的极端价值分析提供了强大的框架.
结论:
- 综合先验和概率方法为准确的极端值推理提供了一个强大的工具.
- 当怀疑不对称的尾巴依赖时,这种方法特别有用.
- 在复杂的多变量数据中提高评估尾部依赖强度的可靠性.
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