Discussion on “on studying extreme values and systematic risks with nonlinear time series models and tail dependence measures”

Figures & data

Figure 1. The empirical density of $T_n=2n\{1-\exp (-1/u_n)\}{q}_{n1}$ under $H_0$ and the density of ${\chi }^2(4)$.

Figure 2. Power of tests based on $q_{n1}$ and $q_{n2}$ for testing the partial tail independence between X and Y given Z.

Figure 3. Power curve of the test based on the maxima of maxima theory for high-dimensional inference with two phenotype. The parameter ρ corresponds to the correlation used in the simulation. The x-axis represents the deviation from the null hypothesis. The horizontal line dotted corresponds to the 0.05 nominal level.