Identifying groups of variables with the potential of being large simultaneously
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Identifying groups of variables that may be large simultaneously amounts to finding out which joint tail dependence coefficients of a multivariate distribution are positive. The asymptotic distribution of a vector of nonparametric, rank-based estimators of these coefficients justifies a stopping criterion in an algorithm that searches the collection of all possible groups of variables in a systematic way, from smaller groups to larger ones. The issue that the tolerance level in the stopping criterion should depend on the size of the groups is circumvented by the use of a conditional tail dependence coefficient. Alternatively, such stopping criteria can be based on limit distributions of rank-based estimators of the coefficient of tail dependence, quantifying the speed of decay of joint survival functions. Numerical experiments indicate that the algorithm's effectiveness for detecting tail-dependent groups of variables is highest when paired with a criterion based on a Hill-type estimator of the coefficient of tail dependence.
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