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Mathematical Problems in EngineeringVolume 2012 2012, Article ID 280869, 14 pages

Research Article

Department of Mathematics, Southeast University, Nanjing 210096, China

College of Science, Nanjing University of Posts and Telecommunications, Nanjing 210003, China

Received 9 January 2012; Accepted 14 March 2012

Academic Editor: Ming Li

Copyright © 2012 Ai-Ju Shi and Jin-Guan Lin. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract

We use tail dependence functions to study tail dependence for regularly varying RV time series. First, tail dependence functions about RV time series are deduced through the intensity measure. Then, the relation between the tail dependence function and the intensity measure is established: they are biuniquely determined. Finally, we obtain the expressions of the tail dependence parameters based on the expectation of the RV components of the time series. These expressions are coincided with those obtained by the conditional probability. Some simulation examples are demonstrated to verify the results we established in this paper.





Author: Ai-Ju Shi and Jin-Guan Lin

Source: https://www.hindawi.com/



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