Related papers: Estimation and Inference in Factor Copula Models w…
This paper introduces a copula-based model for independent but non-identically distributed data with heteroscedastic extremes marginal and changing tail dependence structures. We establish a unified framework for inference by proving the…
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…
Modeling the ratio of two dependent components as a function of covariates is a frequently pursued objective in observational research. Despite the high relevance of this topic in medical studies, where biomarker ratios are often used as…
Instance-wise feature selection and ranking methods can achieve a good selection of task-friendly features for each sample in the context of neural networks. However, existing approaches that assume feature subsets to be independent are…
Quantile Factor Models (QFM) represent a new class of factor models for high-dimensional panel data. Unlike Approximate Factor Models (AFM), where only location-shifting factors can be extracted, QFM also allow to recover unobserved factors…
The partially linear binary choice model can be used for estimating structural equations where nonlinearity may appear due to diminishing marginal returns, different life cycle regimes, or hectic physical phenomena. The inference procedure…
Factor analysis is a statistical technique employed to evaluate how observed variables correlate through common factors and unique variables. While it is often used to analyze price movement in the unstable stock market, it does not always…
We introduce a new method for estimating the parameter of the bivariate Clayton copulas within the framework of Algorithmic Inference. The method consists of a variant of the standard boot-strapping procedure for inferring random…
This paper concerns the estimation of sums of functions of observable and unobservable variables. Lower bounds for the asymptotic variance and a convolution theorem are derived in general finite- and infinite-dimensional models. An explicit…
We propose a framework for determining whether the causal dependence of an outcome $Y$ on a covariate $X$ changes at a given time point, given confounders $\boldsymbol{Z}$. For instance, in financial markets, the effect of a market…
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence, offer a great flexibility in building multivariate stochastic models. In statistics, a copula is used as a general way of…
This paper re-examines the problem of estimating risk premia in linear factor pricing models. Typically, the data used in the empirical literature are characterized by weakness of some pricing factors, strong cross-sectional dependence in…
Agent-based models of disease transmission involve stochastic rules that specify how a number of individuals would infect one another, recover or be removed from the population. Common yet stringent assumptions stipulate interchangeability…
Fixed effect estimators of nonlinear panel data models suffer from the incidental parameter problem. This leads to two undesirable consequences in applied research: (1) point estimates are subject to large biases, and (2) confidence…
Recently, Serfling and Xiao (2007) extended the L-moment theory (Hosking, 1990) to the multivariate setting. In the present paper, we focus on the two-dimension random vectors to establish a link between the bivariate L-moments (BLM) and…
Capturing complex dependence structures between outcome variables (e.g., study endpoints) is of high relevance in contemporary biomedical data problems and medical research. Distributional copula regression provides a flexible tool to model…
Use copula to model dependency of variable extends multivariate gaussian assumption. In this paper we first empirically studied copula regression model with continous response. Both simulation study and real data study are given. Secondly…
A copula of continuous random variables $X$ and $Y$ is called an \emph{implicit dependence copula} if there exist functions $\alpha$ and $\beta$ such that $\alpha(X) = \beta(Y)$ almost surely, which is equivalent to $C$ being factorizable…
In the finite-size scaling analysis of Monte Carlo data, instead of computing the observables at fixed Hamiltonian parameters, one may choose to keep a renormalization-group invariant quantity, also called phenomenological coupling, fixed…
Copulas are now frequently used to construct or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the different variables while separately specifying marginal distributions.…