Related papers: A Copula Statistic for Measuring Nonlinear Multiva…
Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein…
Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…
We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…
We apply the concept of distance covariance for testing independence of two long-range dependent time series. As test statistic we propose a linear combination of empirical distance cross-covariances. We derive the asymptotic distribution…
Zero-inflated continuous data ubiquitously appear in many fields, in which lots of exactly zero-valued data are observed while others distribute continuously. Due to the mixed structure of discreteness and continuity in its distribution,…
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order…
When modeling the distribution of a multivariate continuous random vector using the so-called \emph{copula approach}, it is not uncommon to have ties in the coordinate samples of the available data because of rounding or lack of measurement…
Pearson's $\rho$ is the most used measure of statistical dependence. It gives a complete characterization of dependence in the Gaussian case, and it also works well in some non-Gaussian situations. It is well known, however, that it has a…
This paper intends to develop tools for characterizing non-linear spectral dependence between spontaneous brain signals. We use parametric copula models (both bivariate and vine models) applied on the magnitude of Fourier coefficients…
Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…
This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the…
In this paper, we develop a method to model and estimate several, _dependent_ count processes, using granular data. Specifically, we develop a multivariate Cox process with shot noise intensities to jointly model the arrival process of…
Recent research in statistics has focused on dependence measures kappa(Y,X) taking values in [0, 1], where 0 characterizes independence of X and Y, and 1 perfect functional dependence of Y on X. One class of such measures consists of the…
Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, accurately estimating the linking copulas within these models…
Capturing complex dependence structures between outcome variables (e.g., study endpoints) is of high relevance in contemporary biomedical data problems and medical research. Distributional copula regression provides a flexible tool to model…
Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…
We propose a methodology to explore and measure the pairwise correlations that exist between variables in a dataset. The methodology leverages copulas for encoding dependence between two variables, state-of-the-art optimal transport for…
Accounting for dependence among high-dimensional variables in omics data analysis is critical to obtain accurate and reliable statistical inference. Although latent, omics variables often exhibit structured correlation/co-expression…
Working with so-called linkages allows to define a copula-based, $[0,1]$-valued multivariate dependence measure $\zeta^1(\boldsymbol{X},Y)$ quantifying the scale-invariant extent of dependence of a random variable $Y$ on a $d$-dimensional…
We suggest a dependence coefficient between a categorical variable and some general variable taking values in a metric space. We derive important theoretical properties and study the large sample behaviour of our suggested estimator.…