Related papers: Identifiability and estimation of meta-elliptical …
In this paper we study nonparametric estimators of copulas and copula densities. We first focus our study on a density copula estimator based on a polynomial orthogonal projection of the joint density. A new copula estimator is then…
Copulas are a powerful tool for modeling multivariate distributions as they allow to separately estimate the univariate marginal distributions and the joint dependency structure. However, known parametric copulas offer limited flexibility…
Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, accurately estimating the linking copulas within these models…
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 propose reinterpreting copula density estimation as a discriminative task. Under this novel estimation scheme, we train a classifier to distinguish samples from the joint density from those of the product of independent marginals,…
This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of $Phi$-divergences. An axiomatic framework for this purpose is provided, after which we…
Elliptical distributions are a simple and flexible class of distributions that depend on a one-dimensional function, called the density generator. In this article, we study the non-parametric estimator of this generator that was introduced…
By sampling from the latent space of an autoencoder and decoding the latent space samples to the original data space, any autoencoder can simply be turned into a generative model. For this to work, it is necessary to model the autoencoder's…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…
We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork…
We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conducted where the proposed estimator performs favourably in…
In the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models,…
Copula modelling has become ubiquitous in modern statistics. Here, the problem of nonparametrically estimating a copula density is addressed. Arguably the most popular nonparametric density estimator, the kernel estimator is not suitable…
The ability to generate high-fidelity synthetic data is crucial when available (real) data is limited or where privacy and data protection standards allow only for limited use of the given data, e.g., in medical and financial data-sets.…
Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defining parametric families that are simple and, at the same…
We propose, for multivariate Gaussian copula models with unknown margins and structured correlation matrices, a rank-based, semiparametrically efficient estimator for the Euclidean copula parameter. This estimator is defined as a one-step…
We present a new non-parametric estimator of the conditional density of the kernel type. It is based on an efficient transformation of the data by quantile transform. By use of the copula representation, it turns out to have a remarkable…
Our article addresses the problem of flexibly estimating a multivariate density while also attempting to estimate its marginals correctly. We do so by proposing two new estimators that try to capture the best features of mixture of normals…
We propose a novel approach for density estimation with exponential families for the case when the true density may not fall within the chosen family. Our approach augments the sufficient statistics with features designed to accumulate…