Related papers: Quantile Coherency: A General Measure for Dependen…
Regression models that go beyond the mean, alongside coherent risk measures, have been important tools in modern data analysis. This paper introduces the innovative concept of Average Quantile Regression (AQR), which is smooth at the…
Multivariate processes with long-range dependent properties are found in a large number of applications including finance, geophysics and neuroscience. For real data applications, the correlation between time series is crucial. Usual…
Quantile regression is a fundamental problem in statistical learning motivated by a need to quantify uncertainty in predictions, or to model a diverse population without being overly reductive. For instance, epidemiological forecasts, cost…
In this paper, the defining properties of a valid measure of the dependence between two random variables are reviewed and complemented with two original ones, shown to be more fundamental than other usual postulates. While other popular…
This paper introduces an econometric framework for analyzing cross-sectional dependence in the idiosyncratic volatilities of assets using high frequency data. We first consider the estimation of standard measures of dependence in the…
Analyzing time series in the frequency domain enables the development of powerful tools for investigating the second-order characteristics of multivariate processes. Parameters like the spectral density matrix and its inverse, the coherence…
Although quantum coherence is a basic trait of quantum mechanics, the presence of coherences in the quantum description of a certain phenomenon does not rule out the possibility to give an alternative description of the same phenomenon in…
We model systemic risk using a common factor that accounts for market-wide shocks and a tail dependence factor that accounts for linkages among extreme stock returns. Specifically, our theoretical model allows for firm-specific impacts of…
Quantum coherence is the outcome of the superposition principle. Recently, it has been theorized as a quantum resource, and is the premise of quantum correlations in multipartite systems. It is therefore interesting to study the coherence…
Identifying dependency between two random variables is a fundamental problem. The clear interpretability and ability of a procedure to provide information on the form of possible dependence is particularly important when exploring…
The recently established resource theory of quantum coherence allows for a quantitative understanding of the superposition principle, with applications reaching from quantum computing to quantum biology. While different quantifiers of…
Progression of chronic disease is often manifested by repeated occurrences of disease-related events over time. Delineating the heterogeneity in the risk of such recurrent events can provide valuable scientific insight for guiding…
The peculiar uncertainty or randomness of quantum measurements stems from coherence, whose information-theoretic characterization is currently under investigation. Under the resource theory of coherence, it is interesting to investigate…
A framework for quantifying dependence between random vectors is introduced. With the notion of a collapsing function, random vectors are summarized by single random variables, called collapsed random variables in the framework. Using this…
Variance is a ubiquitous quantity in quantum information theory. Given a basis, we consider the averaged variances of a fixed diagonal observable in a pure state under all possible permutations on the components of the pure state and call…
This paper introduces a simple measure of a concordance pattern among observed outcomes along a network, i.e., the pattern in which adjacent outcomes tend to be more strongly correlated than non-adjacent outcomes. The graph concordance…
The goal of this paper is to develop a measure for characterizing complex dependence between stationary time series that cannot be captured by traditional measures such as correlation and coherence. Our approach is to use copula models of…
Classically general covariance is found from the idea that a vector is a physical quantity which exists independently of choice of coordinate system and is unchanged by a change of coordinate system. It is often assumed that there exists…
Quantum coherence, as a direct manifestation of the quantum superposition principle, is a crucial resource in quantum information processing. Block coherence resource theory generalizes the traditional coherence framework by defining…
Nonlinear dynamic volatility has been observed in many financial time series. The recently proposed quantile periodogram offers an alternative way to examine this phenomena in the frequency domain. The quantile periodogram is constructed…