Related papers: ROCKET: Robust Confidence Intervals via Kendall's …
We propose a new multivariate dependency measure. It is obtained by considering a Gaussian kernel based distance between the copula transform of the given d-dimensional distribution and the uniform copula and then appropriately normalizing…
We propose a new class of extreme-value copulas which are extreme-value limits of conditional normal models. Conditional normal models are generalizations of conditional independence models, where the dependence among observed variables is…
Models based on multivariate t distributions are widely applied to analyze data with heavy tails. However, all the marginal distributions of the multivariate t distributions are restricted to have the same degrees of freedom, making these…
We propose a score test for dependence predictability in conditional copulas that is robust to temporal instabilities. Our semiparametric procedure accommodates flexible dynamics in the marginal processes and remains agnostic about the…
Undirected graphical models are powerful tools for uncovering complex relationships among high-dimensional variables. This paper aims to fully recover the structure of an undirected graphical model when the data naturally take matrix form,…
Linear classifiers with random convolution kernels are computationally efficient methods that need no design or domain knowledge. Unlike deep neural networks, there is no need to hand-craft a network architecture; the kernels are randomly…
Gaussian scale mixtures are constructed as Gaussian processes with a random variance. They have non-Gaussian marginals and can exhibit asymptotic dependence unlike Gaussian processes, which are asymptotically independent except in the case…
A nonparanormal graphical model is a semiparametric generalization of a Gaussian graphical model for continuous variables in which it is assumed that the variables follow a Gaussian graphical model only after some unknown smooth monotone…
Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme. Additionally, modelling both non-extreme and extreme…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
In a traditional Gaussian graphical model, data homogeneity is routinely assumed with no extra variables affecting the conditional independence. In modern genomic datasets, there is an abundance of auxiliary information, which often gets…
Copula modeling has gained much attention in many fields recently with the advantage of separating dependence structure from marginal distributions. In real data, however, serious ties are often present in one or multiple margins, which…
This paper addresses the problem of quantification and propagation of uncertainties associated with dependence modeling when data for characterizing probability models are limited. Practically, the system inputs are often assumed to be…
Score-based generative modeling, informally referred to as diffusion models, continue to grow in popularity across several important domains and tasks. While they provide high-quality and diverse samples from empirical distributions,…
We develop an asymptotic theory for extremes in decomposable graphical models by presenting results applicable to a range of extremal dependence types. Specifically, we investigate the weak limit of the distribution of suitably normalised…
We propose a new semi-parametric distributional regression smoother that is based on a copula decomposition of the joint distribution of the vector of response values. The copula is high-dimensional and constructed by inversion of a pseudo…
Kendall's tau and conditional Kendall's tau matrices are multivariate (conditional) dependence measures between the components of a random vector. For large dimensions, available estimators are computationally expensive and can be improved…
We present a nonparametric graphical model. Our model uses an undirected graph that represents conditional independence for general random variables defined by the conditional dependence coefficient (Azadkia and Chatterjee (2021)). The set…
Graphical models have proven to be powerful tools for representing high-dimensional systems of random variables. One example of such a model is the undirected graph, in which lack of an edge represents conditional independence between two…
Cylindrical data frequently arise across various scientific disciplines, including meteorology (e.g., wind direction and speed), oceanography (e.g., marine current direction and speed or wave heights), ecology (e.g., telemetry), and…