Detecting Correlation Between Extreme Probability Events. Coletti, G., van der Gaag, L., & Petturiti, D. 2018.
abstract   bibtex   
Since the classical definitions of correlation give rise to counterintuitive findings for extreme probability events, we build upon the concept of coherent conditional probability to introduce enhanced notions of correlation. Our new notions allow handling extreme events in a principled way by accommodating the different levels of strength of the zero probabilities involved. Where the detection of correlations by means of these levels is computationally challenging, we provide a full characterisation of the correlations between extreme probability events without reference to the complex structure of probability.
@conference{
	11391_1434725,
	author = {Coletti, Giulianella and van der Gaag, Linda and Petturiti, Davide},
	title = {Detecting Correlation Between Extreme Probability Events.},
	year = {2018},
	publisher = {MatfyzPress, Publishing House of the Faculty of Mathematics and Physics Charles University Sokolovská 83, 186 75 Praha 8, Czech Republic},
	booktitle = {Proceedings of 11-th WUPES},
	abstract = {Since the classical definitions of correlation give rise to counterintuitive findings for extreme probability events, we build upon the concept of coherent conditional probability to introduce enhanced notions of correlation. Our new notions allow handling extreme events in a principled way by accommodating the different levels of {strength} of the zero probabilities involved.  Where the detection of correlations by means of these levels is computationally challenging, we provide a full characterisation of the correlations between extreme probability events without reference to the complex structure of probability.}
}

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