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Related papers: Exact Simulation of reciprocal Archimedean copulas

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The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived…

Methodology · Statistics 2014-11-10 Aristidis K. Nikoloulopoulos

Processes having the same bridges as a given reference Markov process constitute its {\it reciprocal class}. In this paper we study the reciprocal class of compound Poisson processes whose jumps belong to a finite set $\mathcal{A} \subset…

Probability · Mathematics 2014-07-01 Giovanni Conforti , Paolo Dai Pra , Sylvie Roelly

We derive the precise asymptotic distributional behavior of Gaussian variational approximate estimators of the parameters in a single-predictor Poisson mixed model. These results are the deepest yet obtained concerning the statistical…

Statistics Theory · Mathematics 2012-02-24 Peter Hall , Tung Pham , M. P. Wand , S. S. J. Wang

We consider a type of nonnormal approximation of infinitely divisible distributions that incorporates compound Poisson, Gamma, and normal distributions. The approximation relies on achieving higher orders of cumulant matching, to obtain…

Probability · Mathematics 2013-04-24 Zhiyi Chi

Copulas are now frequently used to construct or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the different variables while separately specifying marginal distributions.…

Methodology · Statistics 2023-02-02 Mohamad A. Khaled , Robert Kohn

The (conditional or unconditional) distribution of the continuous scan statistic in a one-dimensional Poisson process may be approximated by that of a discrete analogue via time discretization (to be referred to as the discrete…

Probability · Mathematics 2016-02-09 Yi-Ching Yao , Daniel Wei-Chung Miao , Xenos Chang-Shuo Lin

An asymptotic expansion for inverse moments of positive binomial and Poisson distributions is derived. The expansion coefficients of the asymptotic series are given by the positive central moments of the distribution. Compared to previous…

Statistics Theory · Mathematics 2009-01-16 Marko Znidaric

Copula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are not suitable for the data and model in focus. A Bayesian…

Methodology · Statistics 2025-05-01 Ruyi Pan , Luis E. Nieto-Barajas , Radu V. Craiu

Archimedean copulas are popular in the world of multivariate modelling as a result of their breadth, tractability, and flexibility. A. J. McNeil and J. Ne\v{s}lehov\'a (2009) showed that the class of Archimedean copulas coincides with the…

General Finance · Quantitative Finance 2012-09-19 Edward Hoyle , Levent Ali Menguturk

An algorithm for the unbiased simulation of continuous max-(resp.\ min-)id stochastic processes is developed. The algorithm only requires the simulation of finite Poisson random measures on the space of continuous functions and avoids the…

Probability · Mathematics 2022-10-03 Florian Brück

The convergence of a sequence of point processes with dependent points, defined by a symmetric function of iid high-dimensional random vectors, to a Poisson random measure is proved. This also implies the convergence of the joint…

Probability · Mathematics 2024-02-14 Johannes Heiny , Carolin Kleemann

A Gaussian Cox process is a popular model for point process data, in which the intensity function is a transformation of a Gaussian process. Posterior inference of this intensity function involves an intractable integral (i.e., the…

Methodology · Statistics 2024-07-01 Bingjing Tang , Julia Palacios

The performance of known and new parametric estimators for Archimedean copulas is investigated, with special focus on large dimensions and numerical difficulties. In particular, method-of-moments-like estimators based on pairwise Kendall's…

Computation · Statistics 2012-11-05 Marius Hofert , Martin Maechler , Alexander J. McNeil

Using the classical estimation method of moments, we propose a new semiparametric estimation procedure for multi-parameter copula models. Consistency and asymptotic normality of the obtained estimators are established. By considering an…

Methodology · Statistics 2012-01-10 Brahim Brahimi , Abdelhakim Necir

We present a perfect simulation algorithm for measures that are absolutely continuous with respect to some Poisson process and can be obtained as invariant measures of birth-and-death processes. Examples include area- and…

Probability · Mathematics 2011-11-10 Roberto Fernandez , Pablo A. Ferrari , Nancy Garcia

Missing values with mixed data types is a common problem in a large number of machine learning applications such as processing of surveys and in different medical applications. Recently, Gaussian copula models have been suggested as a means…

Machine Learning · Statistics 2021-07-02 Benjamin Christoffersen , Mark Clements , Keith Humphreys , Hedvig Kjellström

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…

Probability · Mathematics 2015-03-13 Glauco Valle , Marco Aurelio Sanfins

In this paper we develop proximal methods for statistical learning. Proximal point algorithms are useful in statistics and machine learning for obtaining optimization solutions for composite functions. Our approach exploits closed-form…

Machine Learning · Statistics 2015-06-02 Nicholas G. Polson , James G. Scott , Brandon T. Willard

A compound Poisson process whose parameters are all unknown is observed at finitely many equispaced times. Nonparametric estimators of the jump and L\'evy distributions are proposed and functional central limit theorems using the uniform…

Statistics Theory · Mathematics 2017-02-06 Alberto J. Coca

Statistical inference on the mean of a Poisson distribution is a fundamentally important problem with modern applications in, e.g., particle physics. The discreteness of the Poisson distribution makes this problem surprisingly challenging,…

Methodology · Statistics 2012-07-03 Ryan Martin , Duncan Ermini Leaf , Chuanhai Liu
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