Related papers: Modelling and simulation of dependence structures …
We propose a new class of extreme-value copulas which are extreme-value limits of conditional normal models. Conditional normal models are generalizations of conditional independence models, where the dependence among observed variables is…
Copulas are a fundamental tool for modelling multivariate dependencies in data, forming the method of choice in diverse fields and applications. However, the adoption of existing models for multimodal and high-dimensional dependencies is…
This paper deals with a situation when one is interested in the dependence structure of a multidimensional response variable in the presence of a multivariate covariate. It is assumed that the covariate affects only the marginal…
We introduce an extended d-variate Farlie-Gumbel-Morgenstern (FGM) copula that incorporates additional parameters based on Legendre polynomials to enhance the representation of multivariate dependence structures. Within an i.i.d. framework,…
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 propose a methodology to explore and measure the pairwise correlations that exist between variables in a dataset. The methodology leverages copulas for encoding dependence between two variables, state-of-the-art optimal transport for…
Continuous proportions measured on the same experimental unit often pose two challenges: interior outliers that inflate variance beyond the beta ceiling and residual dependence that invalidates independent-margin models. We introduce a…
In this paper, we address the identification and estimation of insurance models where insurees have private information about their risk and risk aversion. The model includes random damages and allows for several claims, while insurers…
Numerical weather prediction is pushing the envelope of grid resolution at local and global scales alike. Aiming to model topography with higher precision, a handful of articles introduced unstructured vertical grids and tested them for dry…
Copula models have been widely used to model the dependence between continuous random variables, but modeling count data via copulas has recently become popular in the statistics literature. Spearman's rho is an appropriate and effective…
Our purpose is to model the dependence between two random variables, taking into account a priori knowledge on these variables. For example, in many applications (oceanography, finance...), there exists an order relation between the two…
An importance sampling approach for sampling copula models is introduced. We propose two algorithms that improve Monte Carlo estimators when the functional of interest depends mainly on the behaviour of the underlying random vector when at…
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…
The benefits of diversifying risks are difficult to estimate quantitatively because of the uncertainties in the dependence structure between the risks. Also, the modelling of multidimensional dependencies is a non-trivial task. This paper…
We exploit Gaussian copulas to specify a class of multivariate circular distributions and obtain parametric models for the analysis of correlated circular data. This approach provides a straightforward extension of traditional multivariate…
We study the dependence structure of market states by estimating empirical pairwise copulas of daily stock returns. We consider both original returns, which exhibit time-varying trends and volatilities, as well as locally normalized ones,…
This paper proposes a regression tree procedure to estimate conditional copulas. The associated algorithm determines classes of observations based on covariate values and fits a simple parametric copula model on each class. The association…
In actuarial practice the dependency between contract limitations (deductibles, copayments) and health care expenditures are measured by the application of the Monte Carlo simulation technique. We propose, for the same goal, an alternative…
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative binomial and Poisson copulas and…
This paper proposes different methods to consistently detect multiple breaks in copula-based dependence measures, mainly focusing on Spearman's $\rho$. The leading model is a factor copula model due to its usefulness for analyzing data in…