Related papers: Single-index copulae
An approach is proposed to determine structural shift in time-series assuming non-linear dependence of lagged values of dependent variable. Copulas are used to model non-linear dependence of time series components.
We characterise Exel's noncommutative Cartan subalgebras in several ways using uniqueness of conditional expectations, relative commutants, or purely outer inverse semigroup actions. We describe in which sense the crossed product…
This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well known copulas are…
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 primarily investigate the properties of characteristic polynomials of semimatroids. In particular, we provide a combinatorial interpretation of their coefficients, generalizing the Whitney's Broken Circuit Theorem. We also prove that the…
Given a biquandle $(X, S)$, a function $\tau$ with certain compatibility and a pair of {\em non commutative cocyles} $f,h:X \times X\to G$ with values in a non necessarily commutative group $G$, we give an invariant for singular knots /…
A common object to describe the extremal dependence of a $d$-variate random vector $X$ is the stable tail dependence function $L$. Various parametric models have emerged, with a popular subclass consisting of those stable tail dependence…
In this paper we study a family of nonlinear (conditional) expectations that can be understood as a continuous semimartingale with uncertain local characteristics. Here, the differential characteristics are prescribed by a set-valued…
We derive explicit formulas for Kendall's tau and Spearman's rho for two broad classes of asymmetric copulas: normal location-scale mixture copulas and skew-normal scale mixture copulas. These classes encompass widely used specifications,…
We introduce the notion of a quandle with a good involution and its homology groups. Carter et al. defined quandle cocycle invariants for oriented links and oriented surface-links. By use of good involutions, quandle cocyle invariants can…
Conditionally specified models are often used to describe complex multivariate data. Such models assume implicit structures on the extremes. So far, no methodology exists for calculating extremal characteristics of conditional models since…
We define a grid presentation for singular links i.e. links with a finite number of rigid transverse double points. Then we use it to generalize link Floer homology to singular links. Besides the consistency of its definition, we prove that…
The Sombor index, a degree-based topological descriptor introduced by Gutman in 2021, lacks closed-form expressions for complex hierarchical trees with multi-level pendant structures and nonuniform degree distributions, despite extensive…
Estimating the structures at high or low quantiles has become an important subject and attracted increasing attention across numerous fields. However, due to data sparsity at tails, it usually is a challenging task to obtain reliable…
We introduce the coverage correlation coefficient, a novel nonparametric measure of statistical association designed to quantifies the extent to which two random variables have a joint distribution concentrated on a singular subset with…
Arithmetical invariants---such as sets of lengths, catenary and tame degrees---describe the non-uniqueness of factorizations in atomic monoids. We study these arithmetical invariants by the monoid of relations and by presentations of the…
We consider a complex-valued linear mixture model, under discrete weakly stationary processes. We recover latent components of interest, which have undergone a linear mixing. We study asymptotic properties of a classical unmixing estimator,…
We introduce the notion of quasi-triviality of quandles and define homology of quasi-trivial quandles. Quandle cocycle invariants are invariant under link-homotopy if they are associated with 2-cocycles of quasi-trivial quandles. We thus…
Some simple (namely, single-channel) correlation functions involving an arbitrary number of fields are computed by means of a direct application of the residue calculus, through partial fraction expansions. Examples are presented in minimal…
Normal copula with a correlation coefficient between $-1$ and $1$ is tail independent and so it severely underestimates extreme probabilities. By letting the correlation coefficient in a normal copula depend on the sample size, H\"usler and…