Related papers: Single-index copulae

We study a non-autonomous parabolic equation with almost-periodic, rapidly oscillating principal part and nonlinear interactions. We associate to the equation a skew-product semiflow and, for a special class of nonlinearities, we define the…

We characterize, in a purely algebraic manner, certain linear forms, called stable, on a Lie algebra. As an application, we determine the index of a Borel subalgebra of a semi-simple Lie algebra. Finally, we give an example of a parabolic…

In this paper we give a brief review of semiparametric theory, using as a running example the common problem of estimating an average causal effect. Semiparametric models allow at least part of the data-generating process to be unspecified…

Functional data are frequently accompanied by a parametric template that describes the typical shapes of the functions. However, these parametric templates can incur significant bias, which undermines both utility and interpretability. To…

Copulas have gained widespread popularity as statistical models to represent dependence structures between multiple variables in various applications. The minimum information copula, given a finite number of constraints in advance, emerges…

Instrumental variable methods are widely used for inferring the causal effect in the presence of unmeasured confounders. Existing instrumental variable methods for nonlinear outcome models require stringent identifiability conditions. This…

We consider nonparametric estimation of a covariance function on the unit square, given a sample of discretely observed fragments of functional data. When each sample path is only observed on a subinterval of length $\delta<1$, one has no…

Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…

The present contribution derives an explicit expression for (a version of) every uni- and multi-variate conditional distribution (i.e., Markov kernel) of Archimedean copulas and uses this representation to generalize a recently established…

Copula is a powerful tool to model multivariate data. We propose the modelling of intraday financial returns of multiple assets through copula. The problem originates due to the asynchronous nature of intraday financial data. We propose a…

Functorial semi-norms are semi-normed refinements of functors such as singular (co)homology. We investigate how different types of representability affect the (non-)triviality of finite functorial semi-norms on certain functors or classes.…

Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defining parametric families that are simple and, at the same…

A new index based on empirical copulas, termed the Copula Statistic (CoS), is introduced for assessing the strength of multivariate dependence and for testing statistical independence. New properties of the copulas are proved. They allow us…

We introduce a new type of influence function, the asymptotic expected sensitivity function, which is often equivalent to but mathematically more tractable than the traditional one based on the Gateaux derivative. To illustrate, we study…

We investigate the descriptional complexity of operations on semilinear sets. Roughly speaking, a semilinear set is the finite union of linear sets, which are built by constant and period vectors. The interesting parameters of a semilinear…

We consider an index model of dyadic link formation with a homophily effect index and a degree heterogeneity index. We provide nonparametric identification results in a single large network setting for the potentially nonparametric…

Asymptotic expansions are derived for associated Legendre functions of degree $\nu$ and order $\mu$, where one or the other of the parameters is large. The expansions are uniformly valid for unbounded real and complex values of the argument…

This paper describes an estimator of the additive components of a nonparametric additive model with a known link function. When the additive components are twice continuously differentiable, the estimator is asymptotically normally…

We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through…

Interval censored data commonly arise in medical studies when the event time of interest is only known to lie within an interval. In the presence of a cure subgroup, conventional mixture cure models typically assume a logistic model for the…