Related papers: Copulas and time series with long-ranged dependenc…
An overview of existing nonparametric tests of extreme-value dependence is presented. Given an i.i.d.\ sample of random vectors from a continuous distribution, such tests aim at assessing whether the underlying unknown copula is of the {\em…
Understanding the way in which random entities interact is of key interest in numerous scientific fields. This can range from a full characterization of the joint distribution to single scalar summary statistics. In this work we identify a…
We present and analyze deterministic complex networks of pulse-coupled oscillators that exhibits recurrent events comprised of an increase and a decline in synchrony. Events emerging from the networks may form an oscillatory behavior or may…
We investigate reflected random walks in the quarter plane, with particular emphasis on the time spent along the reflection boundary axes. Assuming the drift of the random walk lies within the cone, the local time converges -- without the…
We consider the ambiguity associated with the choice of clock in time reparameterization invariant theories. This arbitrariness undermines the goal of prescribing a fixed set of physical laws, since a change of time variable can completely…
Intertemporal choice has drawn attention in behavioral economics, econophysics, and neuroeconomics. Recent studies in mainstream economics have mainly focused on inconsistency in intertemporal choice (dynamic inconsistency); while…
Individual-specific, time-constant, random effects are often used to model dependence and/or to account for omitted covariates in regression models for longitudinal responses. Longitudinal studies have known a huge and widespread use in the…
New copulas, based on perturbation theory, are introduced to clarify a \emph{symmetrization} procedure for asymmetric copulas. We give also some properties of the \emph{symmetrized} copula. Finally, we examine families of copulas with a…
We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be…
Motivated by recently investigated results on dependence measures and robust risk models, this paper provides an overview of dependence properties of many well-known bivariate copula families, where the focus is on the Schur order for…
These lecture notes provide an overview of existing methodologies and recent developments for estimation and inference with high dimensional time series regression models. First, we present main limit theory results for high dimensional…
The constraints arising for a general set of causal relations, both classically and quantumly, are still poorly understood. As a step in exploring this question, we consider a coherently controlled superposition of "direct-cause" and…
Many real-world complex systems are characterized by interactions in groups that change in time. Current temporal network approaches, however, are unable to describe group dynamics, as they are based on pairwise interactions only. Here, we…
In statistics permutations typically arise in the context of rank plots for two-dimensional data. Such plots can also be interpreted as discrete copulas. In discrete mathematics, typically in the context of the description of large…
These lecture notes represent supplementary material for a short course on time series econometrics and network econometrics. We give emphasis on limit theory for time series regression models as well as the use of the local-to-unity…
We consider the problem of bounding large deviations for non-i.i.d. random variables that are allowed to have arbitrary dependencies. Previous works typically assumed a specific dependence structure, namely the existence of independent…
As we have known comprehensively since the early 1990's works of Isham and Kucha\v{r}, The Problem of Time mostly concerns interferences between its many facets. Having introduced the local facets in Articles I to IV, we now show how…
Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…
Research into time series classification has tended to focus on the case of series of uniform length. However, it is common for real-world time series data to have unequal lengths. Differing time series lengths may arise from a number of…
An autonomous system of ordinary differential equations describing nonlinear oscillations on the plane is considered. The influence of time-dependent perturbations decaying at infinity in time is investigated. It is assumed that the…