Related papers: Copulas for maxmin systems
We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression…
This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…
Max-stable processes are widely used to model spatial extremes. These processes exhibit asymptotic dependence meaning that the large values of the process can occur simultaneously over space. Recently, inverted max-stable processes have…
Making use of the total variation of particular functions, we give an explicit formula for the pointwise supremum of the set of all copulas with a given curvilinear section. When the pointwise supremum is a copula is characterized. We also…
We propose reinterpreting copula density estimation as a discriminative task. Under this novel estimation scheme, we train a classifier to distinguish samples from the joint density from those of the product of independent marginals,…
The phenomenon of superconvergence is proved for all freely infinitely divisible distributions. Precisely, suppose that the partial sums of a sequence of free identically distributed, infinitesimal random variables converge in distribution…
Techniques for simulating molecules whose conformations satisfy constraints are presented. A method for selecting appropriate moves in Monte Carlo simulations is given. The resulting moves not only obey the constraints but also maintain…
Positive systems naturally arise in situations where the model tracks physical quantities. Although the linear case is well understood, analysis and controller design for nonlinear positive systems remain challenging. Model reduction…
Exhausters are families of convex compact sets that allow one to represent directional derivative of the studied function at the considered point in the form of InfMax or SupMin of linear functions. Functions for which such a representation…
A novel copula-based multivariate panel ordinal model is developed to estimate structural relations among components of well-being. Each ordinal time-series is modelled using a copula-based Markov model to relate the marginal distributions…
In some areas of knowledge there are data representing directions restricted to a specific range of values. Consequently, it is useful to have models for describing variables defined in subsets of the k-dimensional unit sphere. This need…
Non-random sample selection is a commonplace amongst many empirical studies and it appears when an output variable of interest is available only for a restricted non-random sub-sample of data. We introduce an extension of the generalized…
Stability analysis of discrete-time switched systems under minimum dwell-time is studied using a new type of LMI conditions. These conditions are convex in the matrices of the system and shown to be equivalent to the nonconvex conditions…
We present results on the estimation and evaluation of success probabilities for ordinal optimisation over uncountable sets (such as subsets of $\mathbb{R}^{d}$). Our formulation invokes an assumption of a Gaussian copula model, and we show…
A new notion of stochastic ordering is introduced to compare multivariate stochastic risk models with respect to extreme portfolio losses. In the framework of multivariate regular variation comparison criteria are derived in terms of…
We study stable conditional measures for a certain equilibrium measure for hyperbolic endomorphisms, on basic sets with overlaps; we show that these conditional measures are geometric probabilities and measures of maximal stable dimension.…
For non-uniformly hyperbolic dynamical systems we consider the time series of maxima along typical orbits. Using ideas based upon quantitative recurrence time statistics we prove convergence of the maxima (under suitable normalization) to…
Nonequilibrium statistical models of point vortex systems are constructed using an optimal closure method, and these models are employed to approximate the relaxation toward equilibrium of systems governed by the two-dimensional Euler…
Exhausters and coexhausters are notions of constructive nonsmooth analysis which are used to study extremal properties of functions. An upper exhauster (coexhauster) is used to get an approximation of a considered function in the…
In the present paper, we study extreme negative dependence focussing on the concordance order for copulas. With the absence of a least element for dimensions $d\ge$ 3, the set of all minimal elements in the collection of all copulas turns…