Related papers: New copulas based on general partitions-of-unity (…
We investigate the use of optimization to compute bounds for extremal performance measures. This approach takes a non-parametric viewpoint that aims to alleviate the issue of model misspecification possibly encountered by conventional…
In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…
Infinite order differential equations have come to play an increasingly significant role in theoretical physics. Field theories with infinitely many derivatives are ubiquitous in string field theory and have attracted interest recently also…
We propose a new notion of Partial Inertial Manifold to study the long-time asymptotic behavior of dissipative differential equations. As shown on an example, such manifolds may exist in the cases when the classical Inertial manifold does…
We extend Robins' theory of causal inference for complex longitudinal data to the case of continuously varying as opposed to discrete covariates and treatments. In particular we establish versions of the key results of the discrete theory:…
We propose a multivariate generative model to capture the complex dependence structure often encountered in business and financial data. Our model features heterogeneous and asymmetric tail dependence between all pairs of individual…
In this paper, we derive copula-based and empirical dependency models (DMs) for simulating non-independent variables, and then propose a new way for determining the distribution of the model outputs conditional on every subset of inputs.…
In this paper, we compute multivariate tail risk probabilities where the marginal risks are heavy-tailed and the dependence structure is a Gaussian copula. The marginal heavy-tailed risks are modeled using regular variation which leads to a…
The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous…
The combinatorial properties of partitions with various restrictions on their hooksets are explored. A connection with numerical semigroups extends current results on simultaneous s/t-cores. Conditions that suffice for a partition to…
Copulas are popular as models for multivariate dependence because they allow the marginal densities and the joint dependence to be modeled separately. However, they usually require that the transformation from uniform marginals to the…
We develop a class of non-Gaussian translation processes that extend classical stochastic differential equations (SDEs) by prescribing arbitrary absolutely continuous marginal distributions. Our approach uses a copula-based transformation…
This is the first of a series of papers in which we study deep computations (ultracomputations) and deep iterates, formalizing the ideas of "asymptotic limit" of computations and compositional iterates, respectively. In this first paper of…
This paper addresses a new class of generalized Bolza problems governed by nonconvex integro-differential inclusions with endpoint constraints on trajectories, where the integral terms are given in the general (with time-dependent…
Our goal in this paper is to propose an alternative risk measure which takes into account the fluctuations of losses and possible correlations between random variables. This new notion of risk measures, that we call Copula Conditional Tail…
The t copula is often used in risk management as it allows for modelling tail dependence between risks and it is simple to simulate and calibrate. However, the use of a standard t copula is often criticized due to its restriction of having…
We investigate a family of discrete-time stationary processes defined by multiple stable integrals and renewal processes with infinite means. The model may exhibit behaviors of short-range or long-range dependence, respectively, depending…
We introduce a novel model for time-varying, asymmetric, tail-dependent copulas in high dimensions that incorporates both spectral dynamics and regularization. The dynamics of the dependence matrix' eigenvalues are modeled in a score-driven…
We introduce a solvable model of randomly growing systems consisting of many independent subunits. Scaling relations and growth rate distributions in the limit of infinite subunits are analysed theoretically. Various types of scaling…
We propose a new approach towards approximating the density-to-pair-density map based on copula theory from statistics. We extend the copula theory to multi-dimensional marginals, and deduce that one can describe any (exact or approximate)…