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Multivariate time series present many challenges, especially when they are high dimensional. The paper's focus is twofold. First, we address the subject of consistently estimating the autocovariance sequence; this is a sequence of matrices…
We show how to construct the implied copula process of response values from a Bayesian additive regression tree (BART) model with prior on the leaf node variances. This copula process, defined on the covariate space, can be paired with any…
Within Bayesian nonparametrics, dependent Dirichlet process mixture models provide a highly flexible approach for conducting inference about the conditional density function. However, several formulations of this class make either rather…
A bivariate integer-valued autoregressive process of order 1 (BINAR(1)) with copula-joint innovations is studied. Different parameter estimation methods are analyzed and compared via Monte Carlo simulations with emphasis on estimation of…
Uncertain information on input parameters of reliability models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables. In numerous real-world…
This paper develops bootstrap methods for practical statistical inference in panel data quantile regression models with fixed effects. We consider random-weighted bootstrap resampling and formally establish its validity for asymptotic…
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting. In the present paper, we focus on the two-dimension random vectors to establish a link between the bivariate L-moments (BLM) and…
In this paper we address the problem of performing statistical inference for large scale data sets i.e., Big Data. The volume and dimensionality of the data may be so high that it cannot be processed or stored in a single computing node. We…
Probability density estimation is a central task in statistics. Copula-based models provide a great deal of flexibility in modelling multivariate distributions, allowing for the specifications of models for the marginal distributions…
Longitudinal studies are frequently used in medical research and involve collecting repeated measures on individuals over time. Observations from the same individual are invariably correlated and thus an analytic approach that accounts for…
The partially linear binary choice model can be used for estimating structural equations where nonlinearity may appear due to diminishing marginal returns, different life cycle regimes, or hectic physical phenomena. The inference procedure…
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter…
A new nonparametric model of maximum-entropy (MaxEnt) copula density function is proposed, which offers the following advantages: (i) it is valid for mixed random vector. By `mixed' we mean the method works for any combination of discrete…
Multivariate time series exhibit two types of dependence: across variables and across time points. Vine copulas are graphical models for the dependence and can conveniently capture both types of dependence in the same model. We derive the…
Following our previous work on copula-based nonsymmetric bivariate dependence measures, we propose a new set of conditions on nonsymmetric multivariate dependence measures which characterize both independence and complete dependence of one…
When observations are organized into groups where commonalties exist amongst them, the dependent random measures can be an ideal choice for modeling. One of the propositions of the dependent random measures is that the atoms of the…
Class imbalance remains a practical obstacle in the development of clinical prediction models for conditions such as diabetes mellitus, where the number of confirmed cases is often much smaller than the number of controls. The Synthetic…
Linear mixed-effects models are commonly used to analyze clustered data structures. There are numerous packages to fit these models in R and conduct likelihood-based inference. The implementation of resampling-based procedures for inference…
Bootstrap resampling is the foundation of many ensemble learning methods, and out-of-bag (OOB) error estimation is the most widely used internal measure of generalization performance. In the standard multinomial bootstrap, the number of…
Copula mixed models for trivariate (or bivariate) meta-analysis of diagnostic test accuracy studies accounting (or not) for disease prevalence have been proposed in the biostatistics literature to synthesize information. However, many…