This paper studies several solution paths of sparse quadratic minimization problems as a function of the weighing parameter of the bi-objective of estimation loss versus solution sparsity. Three such paths are considered: the “
There are many ways of measuring and modeling tail-dependence in random vectors: from the general framework of multivariate regular variation and the flexible class of max-stable vectors down to simple and concise summary measures like the matrix of bivariate tail-dependence coefficients. This paper starts by providing a review of existing results from a unifying perspective, which highlights connections between extreme value theory and the theory of cuts and metrics. Our approach leads to some new findings in both areas with some applications to current topics in risk management.
We begin by using the framework of multivariate regular variation to show that extremal coefficients, or equivalently, the higher-order tail-dependence coefficients of a random vector can simply be understood in terms of random exceedance sets, which allows us to extend the notion of Bernoulli compatibility. In the special but important case of bivariate tail-dependence, we establish a correspondence between tail-dependence matrices and
Finally, the correspondence between
- NSF-PAR ID:
- 10416130
- Publisher / Repository:
- Springer Science + Business Media
- Date Published:
- Journal Name:
- Extremes
- Volume:
- 26
- Issue:
- 4
- ISSN:
- 1386-1999
- Format(s):
- Medium: X Size: p. 747-785
- Size(s):
- ["p. 747-785"]
- Sponsoring Org:
- National Science Foundation
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