Related papers: L\'evy copulas: a probabilistic point of view
Recently, many classes of infinitely divisible distributions on R^d have been characterized in several ways. Among others, the first way is to use Levy measures, the second one is to use transformations of Levy measures, and the third one…
We investigate the collinear matching of transverse momentum dependent (TMD) distributions at large values of $x$, computing and resumming the leading large-$x$ asymptotics for matching coefficients. The large-$x$ resummation is done…
Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…
Correlation matrices are standardized covariance matrices. They form an affine space of symmetric matrices defined by setting the diagonal entries to one. We study the geometry of maximum likelihood estimation for this model and linear…
Given a pair of number fields with isomorphic rings of adeles, we construct bijections between objects associated to the pair. For instance we construct an isomorphism of Brauer groups that commutes with restriction. We additionally…
Model selection is an important activity in modern data analysis and the conventional Bayesian approach to this problem involves calculation of marginal likelihoods for different models, together with diagnostics which examine specific…
It is proved that the random integral mappings (some type of functionals of L\'evy processes) are always isomorphisms between convolution semigroups of infinitely divisible measures. However, the inverse mappings are no longer of the random…
Standard probability theory has been extremely successful but there are some conceptually possible scenarios, such as fair infinite lotteries, that it does not model well. For this reason alternative probability theories have been…
An inequality for the variance of an additive function defined on random decomposable structures, called assemblies, is established. The result generalizes estimates obtained earlier in the cases of permutations and mappings of a finite set…
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…
In classical diffusion, particle step-sizes have a Gaussian distribution. However, in superdiffusion, they have power-law tails, with transport dominated by rare, long L\'evy flights. Similarly, if the time interval between scattering…
For a L\'evy process $X$ on a finite time interval consider the probability that it exceeds some fixed threshold $x>0$ while staying below $x$ at the points of a regular grid. We establish exact asymptotic behavior of this probability as…
We study the small-time asymptotics of sample paths of L\'evy processes and L\'evy-type processes. Namely, we investigate under which conditions the limit $$\limsup_{t \to 0} \frac{1}{f(t)} |X_t-X_0|$$ is finite resp.\ infinite with…
The present article studies survival analytic aspects of semiparametric copula dependence models with arbitrary univariate marginals. The underlying survival functions admit a representation via exponent measures which have an…
The paper addresses one-dimensional transport in a Goupillaud medium (a layered medium in which the layer thickness is proportional to the propagation speed), as a prototypical case of wave propagation in random media. Suitable stochastic…
In this paper our first goal is to give precise definition of the L\'evy bridges with random length. Our second task is to establish the Markov property of this process with respect to its completed natural filtration and thus with respect…
Despite the fact that copulas are commonly considered as analytically smooth/regular objects, derivatives of copulas have to be handled with care. Triggered by a recently published result characterizing multivariate copulas via…
We consider a process $Z$ on the real line composed from a L\'evy process and its exponentially tilted version killed with arbitrary rates and give an expression for the joint law of $Z$ seen from its supremum, the supremum $\overline Z$…
We consider Gaussian subordinated L\'evy fields (GSLFs) that arise by subordinating L\'evy processes with positive transformations of Gaussian random fields on some spatial domain $\mathcal{D}\subset \mathbb{R}^d$, $d\geq 1$. The resulting…
We review the model of the Voronoi Diagrams which allows to reproduce the large-scale structures of our universe as given by the astronomical catalogs. The observed number of galaxies in a given solid angle with a chosen flux/magnitude…