Copula Structure Analysis Based on Robust and Extreme Dependence Measures

In this paper we extend the standard approach of correlation structure analysis in order to reduce the dimension of highdimensional statistical data. The classical assumption of a linear model for the distribution of a random vector is replaced by the weaker assumption of a model for the copula. For elliptical copulae a correlation-like structure remains but different margins and non-existence of moments are possible. Moreover, elliptical copulae allow also for a copula structure analysis of dependence in extremes. After introducing the new concepts and deriving some theoretical results we observe in a simulation study the performance of the estimators: the theoretical asymptotic behavior of the statistics can be observed even for a sample of only 100 observations. Finally, we test our method on real financial data and explain differences between our copula based approach and the classical approach. Our new method yields a considerable dimension reduction also in non-linear models

Modelling, Estimation and Visualization of Multivariate Dependence for Risk Management

Dependence modelling and estimation is a key issue in the assessment of portfolio risk. When measuring extreme risk in terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no means an ideal model. We suggest a large class of models and a new dependence function which allows us to capture the complete extreme dependence structure of a portfolio. We also present a simple nonparametric estimation procedure. To show our new method at work we apply it to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data

Estimating Tail Dependence of Elliptical Distributions

Recently there has been an increasing interest in applying elliptical distributions to risk management. Under weak conditions, Hult and Lindskog (2002) showed that a random vector with an elliptical distribution is in the domain of attraction of a multivariate extreme value distribution. In this paper we study two estimators for the tail dependence function, which are based on extreme value theory and the structure of an elliptical distribution, respectively. After deriving second order regular variation estimates and proving asymptotic normality for both estimators, we show that the estimator based on the structure of an elliptical distribution is better than that based on extreme value theory in terms of both asymptotic variance and optimal asymptotic mean squared error.Our theoretical results are confirmed by a simulation study

Dependence Estimation and Visualization in Multivariate Extremes with Applications to Financial Data

We investigate extreme dependence in a multivariate setting with special emphasis on financial applications. We introduce a new dependence function which allows us to capture the complete extreme dependence structure and present a nonparametric estimation procedure. The new dependence function is compared with existing measures including the spectral measure and other devices measuring extreme dependence. We also apply our method to a financial data set of zero coupon swap rates and estimate the extreme dependence in the data

Classical and African swine fever in domestic pigs and European wild boar

Classical and African swine fever are highly contagious, notifiable viral diseases affecting different members of the Suidae family, both showing tremendous impact on animal health and pig production. Optimization of CSF control strategies comprised two different approaches. In a first step, the current strategy of oral immunization of wild boar using a conventional C-strain vaccine was supplemented with the implementation of genetic DIVA using a recently developed multiplex rRT-PCR assay. This approach facilitates a rapid and reliable differentiation of field virus infected from C-strain vaccinated wild boar, and thus presents a promising tool also for emergency vaccination scenarios in domestic pigs. However, the use of conventional modified live vaccines like the C-strain does not allow serological differentiation of infected from vaccinated animals which is a prerequisite for modern disease control. Therefore, the second part comprised the evaluation of the new generation marker vaccine CP7_E2alf to generate data for the authorization process. In the framework of the presented studies, innocuousness in calves, goats, lambs, and rabbits as well as safety in domestic pigs and wild boar was proven. Moreover, protection against lethal CSF challenge infection after oral and intramuscular vaccination of domestic pigs was investigated, and confirmed for a duration of at least 6 months. Furthermore, CP7_E2alf proved outstanding efficacy against challenge infection of domestic pigs and wild boar with a highly virulent CSFV strain of genotype 1.1 and an isolate of genotype 2.3 representing strains currently prevalent in Europe. Candidate CP7_E2alf showed all virtues of a safe and efficacious marker vaccine against CSF that would be suitable for intramuscular vaccination of domestic pigs and oral vaccination of wild boar. For this reason, licensing of CP7_E2alf will be beneficial for future CSF control. African swine fever, one of the most important differential diagnoses of CSF, is currently affecting domestic pigs and wild boar on the territory of the Russian Federation. So far, the outbreak situation could not be resolved and the disease constantly spreads towards the EU. Disease dynamics, especially regarding wild boar, are almost unknown. For this reason, circulating ASFV isolates were characterized for the first time in animal experiments in European wild boar of different age classes. As an exceptionally high virulence was observed in all age classes of animals, endemic situations driven by chronically infected animals or carriers seem unlikely

Riqueza específica y patrones de distribución de equinodermos en el Atlántico Sudoccidental entre los 34 y 56°S

El objetivo de este estudio es recopilar y analizar la información histórica disponible sobre equinodermos en el Atlántico Sudoccidental, a fin de elaborar una síntesis del estado de conocimiento actual, identificar patrones de distribución geográfica de las comunidades de equinodermos y poner a prueba la validez del esquema zoogeográfico tradicionalmente establecido para el área de estudio. Este estudio se llevó a cabo en la Plataforma Continental Argentina entre los 34 y 56°S. Se efectuó una intensiva búsqueda de datos geo-referenciados sobre las especies de equinodermos, a fin de crear una base de datos histórica. Se utilizaron análisis multivariados para analizar cambios en la composición específica a través de gradientes latitudinales y batimétricos, así como también para reconocer y diferenciar las asociaciones de equinodermos en el área de estudio. Los resultados confirmaron la existencia de dos asociaciones faunísticas que responden al esquema zoogeográfico tradicionalmente establecido para el área de estudio, distinguiendo dos Provincias Biogeográficas: Argentina y Magallánica. La Provincia Argentina presentó cuarenta y seis especies ampliamente distribuidas. Ochenta y seis especies fueron registra- das en la Provincia Magallánica, un alto porcentaje de las mismas también se encontraron en aguas de la Antártida (25%), lo que sugiere una fuerte conexión entre la fauna de equinodermos entre esta provincia y la Región Antártica. La riqueza de especies entre los 34 y 56°S en el Océano Atlántico mostró un aumento significativo en referencia a la latitud, los valores más altos se registraron entre los 46 y 56°S. En vista del alto porcentaje de especies compartidas con la Antártida, considerada una región con una diversidad muy alta de equinodermos, el patrón de distribución de la riqueza de especies observado en el área de estudio podría responder a una dispersión de especies antárticas hacia aguas subantárticas.The aim of this study was to compile and analyse available historical information on echinoderms in the southwestern Atlantic Ocean in order to make a synthesis of present taxonomical knowledge, to identify patterns of geographical distribution of echinoderm assemblages and to test the validity of the current zoogeographic scheme for this group. This study was conducted on the Argentinean continental shelf, southwestern Atlantic Ocean (34-56°S). An intensive research on geo-referenced data was carried out to make a knowledge synthesis on echinoderm species and thus create a historical database. Multivariate analysis was used to analyse the faunal composition through latitudinal and bathymetric gradients as well as echinoderm associations. The results confirmed the existence of two faunal associations that correspond to the traditional zoogeographic scheme established for the Argentine Sea: the Argentinean and Magellan Provinces. The Argentinean Province had 46 widely distributed species. Of the 86 species recorded in the Magellan Province, a high percentage (25%) were also found in Antarctic waters, suggesting a strong connection between the echinoderm fauna of this province and the Antarctic Region. The species richness between 34 and 56°S in the Atlantic Ocean showed a significant increase in reference to latitude, with the highest values being recorded between 46 and 56°S. In view of the high percentage of shared species with Antarctica, considered a hot-spot region in terms of echinoderm diversity, the pattern of distribution of species richness observed in our study area could correspond to a dispersion of this species from Antarctic to sub-Antarctic regions.Fil: Souto, Valeria Soledad. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Mar del Plata. Instituto de Investigaciones Marinas y Costeras. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Instituto de Investigaciones Marinas y Costeras; ArgentinaFil: Escolar, Mariana. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Mar del Plata. Instituto de Investigaciones Marinas y Costeras. Subsede Instituto Nacional de Investigación y Desarrollo Pesquero; ArgentinaFil: Genzano, Gabriel Nestor. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Mar del Plata. Instituto de Investigaciones Marinas y Costeras. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Instituto de Investigaciones Marinas y Costeras; ArgentinaFil: Bremec, Claudia Silvia. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Mar del Plata. Instituto de Investigaciones Marinas y Costeras. Universidad Nacional de Mar del Plata. Facultad de Ciencias Exactas y Naturales. Instituto de Investigaciones Marinas y Costeras; Argentin

Search for an infrared counterpart of IGR J16358-4756

We report here on near infrared observations of the field around IGR J16358-4756. The source belongs to the new class of highly absorbed X-ray binaries discovered by IBIS/INTEGRAL. Our primary goal was to identify the infrared counterpart of the source, previously suggested to be a LMXB and then further reclassified as a HMXB. We have made use of Chandra observations of the source in order to better constrain the number of possible counterparts. Using the differential photometry technique, in observations spanning a timescale of 1 month, we found no long term variability in our observations. This is compatible, and we suggest here, that the source is a HMXB.Comment: 5 pages, 2 figures, all styles included; to be published in: "The Transient Milky Way: a perspective for MIRAX", eds. F. D'Amico, J. Braga, and R. E. Rothschild, AIP Conference Proceeding

Correlating the interstellar magnetic field with protostellar jets and its sources

This article combines new CCD polarimetric data with previous information about protostellar objects in a search for correlations involving the interstellar magnetic field. Specifically, we carried out an optical polarimetric study of a sample of 28 fields of 10 X 10 arcmin^2 located in the neighborhood of protostellar jets and randomly spread over the Galaxy. The polarimetry of a large number of field stars is used to estimate both the average and dispersion of the interstellar magnetic field (ISMF) direction in each region. The results of the applied statistical tests are as follows. Concerning the alignment between the jet direction and the interstellar magnetic field, the whole sample does not show alignment. There is, however, a statistically significant alignment for objects of Classes 0 and I. Regarding the interstellar magnetic field dispersion, our sample presents values slightly larger for regions containing T Tauri objects than for those harboring younger protostars. Moreover the ISMF dispersion in regions containing high-mass objects tends to be larger than in those including only low-mass protostars. In our sample, the mean interstellar polarization as a function of the average interstellar extinction in a region reaches a maximum value around 3% for A(V) = 5, after which it decreases. Our data also show a clear correlation of the mean value of the interstellar polarization with the dispersion of the interstellar magnetic field: the larger the dispersion, the smaller the polarization. Based on a comparison of our and previous results, we suggest that the dispersion in regions forming stars is larger than in quiescent regions.Comment: ApJ accepte

Multivariate Tail Copula: Modeling and Estimation

In general, risk of an extreme outcome in financial markets can be expressed as a function of the tail copula of a high-dimensional vector after standardizing marginals. Hence it is of importance to model and estimate tail copulas. Even for moderate dimension, nonparametrically estimating a tail copula is very inefficient and fitting a parametric model to tail copulas is not robust. In this paper we propose a semi-parametric model for tail copulas via an elliptical copula. Based on this model assumption, we propose a novel estimator for the tail copula, which proves favourable compared to the empirical tail copula, both theoretically and empirically