Asymptotic risk decomposition for regularly varying distributions with tail dependence.
Egle JauneJonas SiaulysPublished in: Appl. Math. Comput. (2022)
Keyphrases
- dependence structure
- heavy tailed
- large deviations
- power law
- statistical dependence
- marginal distributions
- risk management
- probability distribution
- high risk
- risk assessment
- minimum risk
- gaussian distribution
- risk factors
- joint distribution
- highly skewed
- decision support system
- kullback leibler divergence
- random variables
- decomposition method
- image decomposition
- decomposition methods
- decomposition algorithm
- varying degrees
- generalized gaussian
- asymptotically optimal
- decision makers
- data sets
- em algorithm
- probability density
- probabilistic model