Related papers: A new class of copula regression models for modell…
We propose a new highly flexible and tractable Bayesian approach to undertake variable selection in non-Gaussian regression models. It uses a copula decomposition for the joint distribution of observations on the dependent variable. This…
In this paper we introduce a new class of multivariate unimodal distributions, motivated by Khintchine's representation. We start by proposing a univariate model, whose support covers all the unimodal distributions on the real line. The…
Parametric copula families have been known to flexibly capture various dependence patterns, e.g., either positive or negative dependence in either the lower or upper tails of bivariate distributions. In this paper, our objective is to…
Graph-structured data are ubiquitous. However, graphs encode diverse types of information and thus play different roles in data representation. In this paper, we distinguish the \textit{representational} and the \textit{correlational} roles…
We propose a general framework for non-normal multivariate data analysis called multivariate covariance generalized linear models (McGLMs), designed to handle multivariate response variables, along with a wide range of temporal and spatial…
Analysing dependent risks is an important task for insurance companies. A dependency is reflected in the fact that information about one random variable provides information about the likely distribution of values of another random…
Over the last couple of decades, several copula based methods have been proposed in the literature to test for the independence among several random variables. But these existing tests are not invariant under monotone transformations of the…
We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates…
Regression analysis is one of the most popularly used statistical technique which only measures the direct effect of independent variables on dependent variable. Path analysis looks for both direct and indirect effects of independent…
The omnipotence of copulas when modeling dependence given marg\-inal distributions in a multivariate stochastic situation is assured by the Sklar's theorem. Montes et al.\ (2015) suggest the notion of what they call an \emph{imprecise…
When scholars study joint distributions of multiple variables, copulas are useful. However, if the variables are not linearly correlated with each other yet are still not independent, most of conventional copulas are not up to the task.…
Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…
The statistical analysis of univariate quantiles is a well developed research topic. However, there is a need for research in multivariate quantiles. We construct bivariate (conditional) quantiles using the level curves of vine copula based…
Modeling dependence in high dimensional systems has become an increasingly important topic. Most approaches rely on the assumption of a multivariate Gaussian distribution such as statistical models on directed acyclic graphs (DAGs). They…
We propose parametric copulas that capture serial dependence in stationary heteroskedastic time series. We develop our copula for first order Markov series, and extend it to higher orders and multivariate series. We derive the copula of a…
We introduce a new category of multivariate conditional generative models and demonstrate its performance and versatility in probabilistic time series forecasting and simulation. Specifically, the output of quantile regression networks is…
Probability density estimation from observed data constitutes a central task in statistics. In this brief, we focus on the problem of estimating the copula density associated to any observed data, as it fully describes the dependence…
We address an important yet challenging problem - modeling high-dimensional dependencies across multivariates such as financial indicators in heterogeneous markets. In reality, a market couples and influences others over time, and the…
Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula…
We consider a model for multivariate data with heavy-tailed marginal distributions and a Gaussian dependence structure. The different marginals in the model are allowed to have non-identical tail behavior in contrast to most popular…