Related papers: Nested Archimedean copulas: a new class of nonpara…

One of the features inherent in nested Archimedean copulas, also called hierarchical Archimedean copulas, is their rooted tree structure. A nonparametric, rank-based method to estimate this structure is presented. The idea is to represent…

Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean…

The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions and numerical difficulties. In particular, method-of-moments-like estimators based on pairwise Kendall's…

With insurers benefiting from ever-larger amounts of data of increasing complexity, we explore a data-driven method to model dependence within multilevel claims in this paper. More specifically, we start from a non-parametric estimator for…

Nested nonparametric processes are vectors of random probability measures widely used in the Bayesian literature to model the dependence across distinct, though related, groups of observations. These processes allow a two-level clustering,…

In multiple testing, the family-wise error rate can be bounded under some conditions by the copula of the test statistics. Assuming that this copula is Archimedean, we consider two non-parametric Archimedean generator estimators. More…

Research on structure determination and parameter estimation of hierarchical Archimedean copulas (HACs) has so far mostly focused on the case in which all appearing Archimedean copulas belong to the same Archimedean family. The present work…

In the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models,…

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…

In this paper we study nonparametric estimators of copulas and copula densities. We first focus our study on a density copula estimator based on a polynomial orthogonal projection of the joint density. A new copula estimator is then…

In the past several years a wide range of methods for the construction of regression trees and other estimators based on the recursive partitioning of samples have appeared in the statistics literature. Many applications involve data…

When studying treatment effects in multilevel studies, investigators commonly use (semi-)parametric estimators, which make strong parametric assumptions about the outcome, the treatment, and/or the correlation structure between study units…

Using the classical estimation method of moments, we propose a new semiparametric estimation procedure for multi-parameter copula models. Consistency and asymptotic normality of the obtained estimators are established. By considering an…

Copulas are mathematical objects that fully capture the dependence structure among random variables and hence, offer a great flexibility in building multivariate stochastic models. In statistics, a copula is used as a general way of…

This paper considers the challenging computational task of estimating nested expectations. Existing algorithms, such as nested Monte Carlo or multilevel Monte Carlo, are known to be consistent but require a large number of samples at both…

Hierarchical Archimedean copulas (HACs) are multivariate uniform distributions constructed by nesting Archimedean copulas into one another, and provide a flexible approach to modeling non-exchangeable data. However, this flexibility in the…

Regression trees and their ensemble methods are popular methods for nonparametric regression: they combine strong predictive performance with interpretable estimators. To improve their utility for locally smooth response surfaces, we study…

Survival trees are popular alternatives to Cox or Aalen regression models that offer both modelling flexibility and graphical interpretability. This paper introduces a new algorithm for survival trees that relaxes the assumption of…

This paper considers the practically important case of nonparametrically estimating heterogeneous average treatment effects that vary with a limited number of discrete and continuous covariates in a selection-on-observables framework where…

Copulas are a powerful tool for modeling multivariate distributions as they allow to separately estimate the univariate marginal distributions and the joint dependency structure. However, known parametric copulas offer limited flexibility…