Local Gaussian Correlation in the Tails: A Scarcity Diagnostic, an Optimal Local Bandwidth, and the Limits of Adaptivity
尾部局部高斯相关:样本稀缺诊断、最优局部带宽与适应性的边界
Local Gaussian correlation (LGC) measures dependence locally, making it a natural tool for tail dependence and financial contagion, but its estimates degrade in the joint tails, where they are most needed. Location-adaptive bandwidths have been tried for LGC and found inferior to a single global bandwidth; we explain why, and map the regime in which adaptivity does help. First, a diagnostic: across heavy-tailed data-generating processes the parametric marginal pre-transform…