Related papers: Asymptotics of empirical copula processes under no…
Copulas are now frequently used to construct or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the different variables while separately specifying marginal distributions.…
Testing for pairwise independence for the case where the number of variables may be of the same size or even larger than the sample size has received increasing attention in the recent years. We contribute to this branch of the literature…
The decreasing enumeration of the points of a Poisson random measure whose mean measure has finite survival function on the positive half-axis can be represented as a non-increasing function of the jump times of a standard Poisson process.…
We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…
We derive strong approximations to the supremum of the non-centered empirical process indexed by a possibly unbounded VC-type class of functions by the suprema of the Gaussian and bootstrap processes. The bounds of these approximations are…
Although copulas are used and defined for various infinite-dimensional objects (e.g. Gaussian processes and Markov processes), there is no prevalent notion of a copula that unifies these concepts. We propose a unified approach and define…
The purpose of this paper is to prove a weak convergence result for empirical processes indexed in general classes of functions and with an underlying $\alpha$-mixing sequence of random variables. In particular the uniformly boundedness…
We consider the problem of inference after model selection under weak assumptions in the time series setting. Even when the data are not independent, we show that sample splitting remains asymptotically valid as long as the process…
We propose a new goodness-of-fit test for copulas, based on empirical copula processes and their nonparametric bootstrap counterparts. The standard Kolmogorov-Smirnov type test for copulas that takes the supremum of the empirical copula…
The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are…
This is the first of a series of papers in which we study deep computations (ultracomputations) and deep iterates, formalizing the ideas of "asymptotic limit" of computations and compositional iterates, respectively. In this first paper of…
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence function, which is a function on the unit simplex subject to…
A broad class of smooth, possibly data-adaptive nonparametric copula estimators that contains empirical Bernstein copulas introduced by Sancetta and Satchell (and thus the empirical beta copula proposed by Segers, Sibuya and Tsukahara) is…
Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional absolutely continuous density can be uniquely represented as the…
This paper provides refined versions of some known functional central limit theorems for conditional Poisson sampling which are more suitable for applications. The theorems presented in this paper are generalizations of some results that…
Causal inference with observational studies often relies on the assumptions of unconfoundedness and overlap of covariate distributions in different treatment groups. The overlap assumption is violated when some units have propensity scores…
We propose a new test for the hypothesis that a bivariate copula is an Archimedean copula. The test statistic is based on a combination of two measures resulting from the characterization of Archimedean copulas by the property of…
The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show a rather remarkable degree of analytical tractability. The…
In this paper, we derive copula-based and empirical dependency models (DMs) for simulating non-independent variables, and then propose a new way for determining the distribution of the model outputs conditional on every subset of inputs.…
This paper analyzes the limit properties of the empirical process of $\alpha$-stable random variables with long range dependence. The $\alpha$-stable random variables are constructed by non-linear transformations of bivariate sequences of…