Related papers: Right-truncated Archimedean and related copulas
Vine copulas, constructed using bivariate copulas as building blocks, provide a flexible framework for modeling multi-dimensional dependencies. However, this flexibility is accompanied by rapidly increasing complexity as dimensionality…
Archetypal analysis is an unsupervised learning method that uses a convex polytope to summarize multivariate data. For fixed $k$, the method finds a convex polytope with $k$ vertices, called archetype points, such that the polytope is…
Time-dependent Receiver Operating Characteristics (ROC) analysis is a standard method to evaluate the discriminative performance of biomarkers or risk scores for time-to-event outcomes. Extensions of this useful method to left-truncated…
We consider removing lower order statistics from the classical Hill estimator in extreme value statistics, and compensating for it by rescaling the remaining terms. Trajectories of these trimmed statistics as a function of the extent of…
It is well known that the product of two independent regularly varying random variables with the same tail index is again regularly varying with this index. In this paper, we provide sharp sufficient conditions for the regular variation…
In this paper, we analyze the relative errors in various reliability measures due to the tacit assumption that the components associated with a $n$-component series system or a parallel system are independently working where the components…
The tail-dependence compatibility problem is introduced. It raises the question whether a given $d\times d$-matrix of entries in the unit interval is the matrix of pairwise tail-dependence coefficients of a $d$-dimensional random vector.…
For large $n$, take a random $n \times n$ permutation matrix and its associated discrete copula $X_n$. For $a, b = 0, 1, \ldots, n$, let $y_n(\frac{a}{n},\frac{b}{n}) = \frac{1}{n} ( X_{a,b} - \frac{ab}{n} )$; define $y_n: [0,1]^2 \to R$ by…
We develop iterated forcing constructions dual to finite support iterations in the sense that they add random reals instead of Cohen reals in limit steps. In view of useful applications we focus in particular on two-dimensional "random"…
We enumerate the connected graphs that contain a number of edges growing linearly with respect to the number of vertices. So far, only the first term of the asymptotics and a bound on the error were known. Using analytic combinatorics, ie…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
A general analytical method is developed for describing crossover phenomena of arbitrary nature. The method is based on the algebraic self-similar renormalization of asymptotic series, with control functions defined by crossover conditions.…
A famous result going back to Eric Kostlan states that the moduli of the eigenvalues of random normal matrices with radial potential are independent yet non identically distributed. This phenomenon is at the heart of the asymptotic analysis…
In this paper we are concerned with a sample of asymptotically independent risks. Tail asymptotic probabilities for linear combinations of randomly weighted order statistics are approximated under various assumptions, where the individual…
Let $A$ be a matrix whose columns $X_1,\dots, X_N$ are independent random vectors in $\mathbb{R}^n$. Assume that the tails of the 1-dimensional marginals decay as $\mathbb{P}(|\langle X_i, a\rangle|\geq t)\leq t^{-p}$ uniformly in $a\in…
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…
Vine copulas are a type of multivariate dependence model, composed of a collection of bivariate copulas that are combined according to a specific underlying graphical structure. Their flexibility and practicality in moderate and high…
We obtain several inequalities on the generalized means of dependent p-values. In particular, the weighted harmonic mean of p-values is strictly sub-uniform under several dependence assumptions of p-values, including independence, negative…
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…
We apply the Frobenius method to the Schr\"{o}dinger equation with a truncated Coulomb potential. By means of the tree-term recurrence relation for the expansion coefficients we truncate the series and obtain exact eigenfunctions and…