Related papers: Of copulas, quantiles, ranks and spectra: An $L_1$…
We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression…
A key question in modern statistics is how to make fast and reliable inferences for complex, high-dimensional data. While there has been much interest in sparse techniques, current methods do not generalize well to data with nonlinear…
We define a new bandwidth-dependent kernel density estimator that improves existing convergence rates for the bias, and preserves that of the variation, when the error is measured in $L_1$. No additional assumptions are imposed to the…
Local Polynomial Regression (LPR) is a widely used nonparametric method for modeling complex relationships due to its flexibility and simplicity. It estimates a regression function by fitting low-degree polynomials to localized subsets of…
Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar's theorem, "the fundamental theorem of copulas", makes a clear distinction between the continuous case…
Strongly lensed variable quasars can serve as precise cosmological probes, provided that time delays between the image fluxes can be accurately measured. A number of methods have been proposed to address this problem. In this paper, we…
Analysis of multivariate time series is a common problem in areas like finance and economics. The classical tool for this purpose are vector autoregressive models. These however are limited to the modeling of linear and symmetric…
Conditional copula models allow dependence structures to vary with observed covariates while preserving a separation between marginal behavior and association. We study the uniform asymptotic behavior of kernel-weighted local likelihood…
Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, accurately estimating the linking copulas within these models…
We propose a M-quantile regression model for the analysis of multivariate, continuous, longitudinal data. M-quantile regression represents an appealing alternative to standard regression models, as it combines the robustness of quantile and…
Spectral networks derived from multivariate time series data arise in many domains, from brain science to Earth science. Often, it is of interest to study how these networks change under different conditions. For instance, to better…
Pseudospectral analysis serves as a powerful tool in matrix computation and the study of both linear and nonlinear dynamical systems. Among various numerical strategies, random sampling, especially in the form of rank-$1$ perturbations,…
Comparing multivariate yield quality distributions across spatially referenced agricultural fields is complicated by two pervasive features: non-normality and spatial autocorrelation. Classical procedures such as ANOVA, MANOVA, and standard…
The paper introduces a new efficient nonlinear one-class classifier formulated as the Rayleigh quotient criterion optimisation. The method, operating in a reproducing kernel Hilbert space, minimises the scatter of target distribution along…
Probability density estimation from observed data constitutes a central task in statistics. In this brief, we focus on the problem of estimating the copula density associated to any observed data, as it fully describes the dependence…
This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…
The paper studies properties of continuous time processes with spectrum degeneracy at a single point where their Fourier transforms vanish with a certain rate. It appears that these processes are linearly predictable in some weak sense,…
This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…
The dynamics of a power system with a significant presence of renewable energy resources are growing increasingly nonlinear. This nonlinearity is a result of the intermittent nature of these resources and the switching behavior of their…
This paper proposes a regression tree procedure to estimate conditional copulas. The associated algorithm determines classes of observations based on covariate values and fits a simple parametric copula model on each class. The association…