Related papers: Non-exchangeability of copulas arising from shock …
In competing risks models, the joint distribution of the event times is not identifiable even when the margins are fully known, which has been referred to as the "identifiability crisis in competing risks analysis" (Crowder, 1991). We model…
Copulas are known to satisfy a number of regularity properties, and one might therefore believe that their densities, when they exist, admit a certain degree of regularity themselves. We show that this is not true in general by constructing…
A novel positive dependence property is introduced, called positive measure inducing (PMI for short), being fulfilled by numerous copula classes, including Gaussian, Fr\'echet, Farlie-Gumbel-Morgenstern and Frank copulas; it is conjectured…
This paper is motivated by the characterization of the optimal symmetry breaking region in Caffarelli-Kohn-Nirenberg inequalities. As a consequence, optimal functions and sharp constants are computed in the symmetry region. The result…
This paper proposes a novel asymmetric continuous probabilistic score (ACPS) for evaluating and comparing density forecasts. It extends the proposed score and defines a weighted version, which emphasizes regions of interest, such as the…
The entanglement asymmetry has emerged in recent years as a practical quantity to study phases of matter. We present the first study of entanglement asymmetry in gauge theories by considering the chiral anomaly of the analytically solvable…
We propose a new semi-parametric distributional regression smoother that is based on a copula decomposition of the joint distribution of the vector of response values. The copula is high-dimensional and constructed by inversion of a pseudo…
To handle the ubiquitous problem of "dependence learning," copulas are quickly becoming a pervasive tool across a wide range of data-driven disciplines encompassing neuroscience, finance, econometrics, genomics, social science, machine…
Low-frequency molecular fluctuations in the translational nonequilibrium zone of one-dimensional strong shock waves are characterised for the first time in a kinetic collisional framework in the Mach number range $2\le M\le 10$. Our…
This article deals with parameterisation, identifiability, and maximum likelihood (ML) estimation of possibly non-invertible structural vector autoregressive moving average (SVARMA) models driven by independent and non-Gaussian shocks. In…
This paper proposes a new approach for analyzing seismic accelerograms using the evolutionary Power Spectral Density function (ePSDF). The accelerogram of an earthquake can be accurately modeled and simulated from its spectrogram, based on…
In this paper we establish asymptotic simultaneous confidence bands for copulas based on the local linear kernel estimator proposed by Chen and Huang [1]. For this, we prove under smoothness conditions on the copula function, a uniform in…
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…
This paper proposes a quasi-maximum likelihood (QML) estimator for break points in high-dimensional factor models, specifically accounting for multiple structural breaks. We begin by establishing a necessary and sufficient condition to…
Rank-based dependence measures such as Spearman's footrule are robust and invariant, but they often fail to capture directional or asymmetric dependence in multivariate settings. This paper introduces a new family of directional Spearman's…
We examine Cosmic Microwave Background (CMB) temperature power spectra from the BOOMERANG, MAXIMA, and DASI experiments. We non-parametrically estimate the true power spectrum with no model assumptions. This is a significant departure from…
Maximal couplings are (probabilistic) couplings of Markov processes such that the tail probabilities of the coupling time attain the total variation lower bound (Aldous bound) uniformly for all time. Markovian (or immersion) couplings are…
Following our previous work on copula-based nonsymmetric dependence measures, we introduce similar measures for discrete random variables. The measures cover the range between two extremes: independence and complete dependence, which take…
The instability behaviour of eccentrically loaded circular masonry columns is investigated. Two approaches are considered for the analysis. One is based on a semi-analytical formulation of the relevant boundary-value problem for a…
A key tool to carry out inference on the unknown copula when modeling a continuous multivariate distribution is a nonparametric estimator known as the empirical copula. One popular way of approximating its sampling distribution consists of…