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

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 o...

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Autores principales:	Mercadier Cécile, Ressel Paul
Formato:	article
Lenguaje:	EN
Publicado:	De Gruyter 2021
Materias:	hoeffding–sobol decomposition co-survival function spectral representation stable tail dependence function multivariate extreme value modeling 26a48 26b99 44a30 62g32 62h05 Science (General) Q1-390 Mathematics QA1-939
Acceso en línea:	https://doaj.org/article/ddd73d12204645b3ae5935cc47581274
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spelling	oai:doaj.org-article:ddd73d12204645b3ae5935cc475812742021-12-05T14:10:46ZHoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application2300-229810.1515/demo-2021-0108https://doaj.org/article/ddd73d12204645b3ae5935cc475812742021-09-01T00:00:00Zhttps://doi.org/10.1515/demo-2021-0108https://doaj.org/toc/2300-2298The 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.Mercadier CécileRessel PaulDe Gruyterarticlehoeffding–sobol decompositionco-survival functionspectral representationstable tail dependence functionmultivariate extreme value modeling26a4826b9944a3062g3262h05Science (General)Q1-390MathematicsQA1-939ENDependence Modeling, Vol 9, Iss 1, Pp 179-198 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	hoeffding–sobol decomposition co-survival function spectral representation stable tail dependence function multivariate extreme value modeling 26a48 26b99 44a30 62g32 62h05 Science (General) Q1-390 Mathematics QA1-939
spellingShingle	hoeffding–sobol decomposition co-survival function spectral representation stable tail dependence function multivariate extreme value modeling 26a48 26b99 44a30 62g32 62h05 Science (General) Q1-390 Mathematics QA1-939 Mercadier Cécile Ressel Paul Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
description	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.
format	article
author	Mercadier Cécile Ressel Paul
author_facet	Mercadier Cécile Ressel Paul
author_sort	Mercadier Cécile
title	Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
title_short	Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
title_full	Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
title_fullStr	Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
title_full_unstemmed	Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application
title_sort	hoeffding–sobol decomposition of homogeneous co-survival functions: from choquet representation to extreme value theory application
publisher	De Gruyter
publishDate	2021
url	https://doaj.org/article/ddd73d12204645b3ae5935cc47581274
work_keys_str_mv	AT mercadiercecile hoeffdingsoboldecompositionofhomogeneouscosurvivalfunctionsfromchoquetrepresentationtoextremevaluetheoryapplication AT resselpaul hoeffdingsoboldecompositionofhomogeneouscosurvivalfunctionsfromchoquetrepresentationtoextremevaluetheoryapplication
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Hoeffding–Sobol decomposition of homogeneous co-survival functions: from Choquet representation to extreme value theory application

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