Related papers: Right-truncated Archimedean and related copulas
The generalized correlation approach, which has been successfully used in statistical radio physics to describe non-Gaussian random processes, is proposed to describe stochastic financial processes. The generalized correlation approach has…
For a branching random walk that drifts to infinity, consider its Malthusian martingale, i.e.~the additive martingale with parameter $\theta$ being the smallest root of the characteristic equation. When particles are killed below the…
A statistical study of crumpled paper is allowed by a minimal 1D model: a self-avoiding line bent at sharp angles -- in which resides the elastic energy -- put in a confining potential. Many independent equilibrium configurations are…
Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of explicitly forecasting…
A graph $G$ is said to be chordal if it has no induced cycles of length four or more. In a recent preprint Culbertson, Guralnik, and Stiller give a new characterization of chordal graphs in terms of sequences of what they call…
No existing nested Archimedean copula tool handles all three of (a) arbitrary per-variable (right-)censoring in survival analysis, (b) arbitrary nesting trees, and (c) exact parameter gradients. Existing implementations handle only…
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…
Model approximations are common practice when estimating structural or quasi-structural models. The paper considers the econometric properties of estimators that utilize projections to reimpose information about the exact model in the form…
Standard singularity theorems are proven in Lorentzian manifolds of arbitrary dimension n if they contain closed trapped submanifolds of arbitrary co-dimension. By using the mean curvature vector to characterize trapped submanifolds, a…
We study limits of the largest connected components (viewed as metric spaces) obtained by critical percolation on uniformly chosen graphs and configuration models with heavy-tailed degrees. For rank-one inhomogeneous random graphs, such…
We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and affects the joint dependence of all…
This paper studies properties of functions having monotone tails. We extend Theorem 1 of Dhaene et al. (2002a) and show how the tail quantiles of a random variable transformed with a monotone tail function can be expressed as the…
We construct new multivariate copulas on the basis of a generalized infinite partition-of-unity approach. This approach allows - in contrast to finite partition-of-unity copulas - for tail-dependence as well as for asymmetry. A possibility…
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…
This article extends the literature on copulas with discrete or continuous marginals to the case where some of the marginals are a mixture of discrete and continuous components. We do so by carefully defining the likelihood as the density…
Many enumeration problems in combinatorics, including such fundamental questions as the number of regular graphs, can be expressed as high-dimensional complex integrals. Motivated by the need for a systematic study of the asymptotic…
The notion of the truncated Euler characteristic for Iwasawa modules is an extension of the notion of the usual Euler characteristic to the case when the homology groups are not finite. This article explores congruence relations between the…
In the context of random multiplicative cascade processes, we derive analytical solutions for one- and two-point cumulants with restored translational invariance. On taking ratios of cumulants in ln epsilon, geometrical effects due to…
The empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop…
Contraction analysis establishes exponential incremental convergence of a nonlinear system by solving a linear matrix inequality for a contraction metric, and has become a standard resource for solving problems in nonlinear control and…