Related papers: New copulas based on general partitions-of-unity (…
We present an exposition of our ongoing project in a new area of applicable mathematics: practical computation with finitely generated linear groups over infinite fields. Methodology and algorithms available for practical computation in…
This article is part of an ongoing investigation of the combinatorics of $q,t$-Catalan numbers $\textrm{Cat}_n(q,t)$. We develop a structure theory for integer partitions based on the partition statistics dinv, deficit, and minimum triangle…
Use copula to model dependency of variable extends multivariate gaussian assumption. In this paper we first empirically studied copula regression model with continous response. Both simulation study and real data study are given. Secondly…
When modeling multivariate phenomena, properly capturing the joint extremal behavior is often one of the many concerns. Archimax copulas appear as successful candidates in case of asymptotic dependence. In this paper, the class of Archimax…
The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show a rather remarkable degree of analytical tractability. The…
We study the enumeration of set partitions, according to their length, number of parts, cyclic type, and genus. We introduce genus-dependent Bell, Stirling numbers, and Fa\`a di Bruno coefficients. Besides attempting to summarize what is…
We introduce a new family of copula densities constructed from univariate distributions on $[0,1]$. Although our construction is structurally simple, the resulting family is versatile: it includes both smooth and irregular examples, and…
The empirical copula process plays a central role for statistical inference on copulas. Recently, Segers (2011) investigated the asymptotic behavior of this process under non-restrictive smoothness assumptions for the case of i.i.d. random…
Copulas are mathematical tools for modeling joint probability distributions. Since copulas enable one to conveniently treat the marginal distribution of each variable and the interdependencies among variables separately, in the past 60…
Stochastic modelling of fatigue (and other material's deterioration), as well as of cumulative damage in risk theory, are often based on compound sums of independent random variables, where the number of addends is represented by an…
The univariate Piecing-Together approach (PT) fits a univariate generalized Pareto distribution (GPD) to the upper tail of a given distribution function in a continuous manner. A multivariate extension was established by Aulbach et al.…
In this paper we provide a rigorous mathematical foundation for continuous approximations of a class of systems with piece-wise continuous functions. By using techniques from the theory of differential inclusions, the underlying piece-wise…
Tail dependence plays an essential role in the characterization of joint extreme events in multivariate data. However, most standard tail dependence parameters assume continuous margins. This note presents a form of tail dependence suitable…
We examine an infinite, linear system of ordinary differential equations that models the evolution of fragmenting clusters, where each cluster is assumed to be composed of identical units. In contrast to previous investigations into such…
Measures of tail dependence between random variables aim to numerically quantify the degree of association between their extreme realizations. Existing tail dependence coefficients (TDCs) are based on an asymptotic analysis of relevant…
We study the tail asymptotics of the sum of two heavy-tailed random variables. The dependence structure is modeled by copulas with the so-called tail order property. Examples are presented to illustrate the approach. Further for each…
We define in a probabilistic way a parametric family of multivariate extreme value distributions. We derive its copula, which is a mixture of several complete dependent copulas and total independent copulas, and the bivariate tail…
To disentangle the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework…
A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision…
We study a broad class of asymmetric copulas introduced by Liebscher (2008) as a combination of multiple - usually symmetric - copulas. The main thrust of the paper is to provide new theoretical properties including exact tail dependence…