Related papers: Hypothesis testing for varying coefficient models …

In semivarying coefficient models for longitudinal/clustered data, usually of primary interest is usually the parametric component which involves unknown constant coefficients. First, we study semiparametric efficiency bound for estimation…

We propose a novel distributional regression model for a multivariate response vector based on a copula process over the covariate space. It uses the implicit copula of a Gaussian multivariate regression, which we call a ``regression…

We study the asymptotic behavior of the marginal expected shortfall when the two random variables are asymptotic independent but positive associated, which is modeled by the so-called tail dependent coefficient. We construct an estimator of…

Risk measures like Marginal Expected Shortfall and Marginal Mean Excess quantify conditional risk and in particular, aid in the understanding of systemic risk. In many such scenarios, models exhibiting heavy tails in the margins and…

This work is concerned with the estimation of multidimensional regression and the asymptotic behaviour of the test involved in selecting models. The main problem with such models is that we need to know the covariance matrix of the noise to…

This paper introduces the partial Gini covariance, a novel dependence measure that addresses the challenges of high-dimensional inference with heavy-tailed errors, often encountered in fields like finance, insurance, climate, and biology.…

Analyses of randomised trials are often based on regression models which adjust for baseline covariates, in addition to randomised group. Based on such models, one can obtain estimates of the marginal mean outcome for the population under…

We propose a novel probabilistic model to facilitate the learning of multivariate tail dependence of multiple financial assets. Our method allows one to construct from known random vectors, e.g., standard normal, sophisticated joint…

We discuss in this paper a possibility of constructing a whole class of asymptotic distribution-free tests for testing regularly varying tail distributions. The idea is that we treat the tails of distributions as members of a parametric…

A popular measure of association is the tail dependence coefficient which measures the strength of dependence in either the lower-left or upper-right tail of a bivariate distribution. In this paper, we develop the idea of quantile…

Varying coefficient model is often used in statistical modeling since it is more flexible than the parametric model. However, model detection and variable selection of varying coefficient model are poorly understood in mode regression.…

Semiparametric regression offers a flexible framework for modeling non-linear relationships between a response and covariates. A prime example are generalized additive models where splines (say) are used to approximate non-linear functional…

Expectile regression is a useful tool for exploring the relation between the response and the explanatory variables beyond the conditional mean. This article develops a continuous threshold expectile regression for modeling data in which…

We consider functional linear regression models where functional outcomes are associated with scalar predictors by coefficient functions with shape constraints, such as monotonicity and convexity, that apply to sub-domains of interest. To…

This article is devoted to the study of tail index estimation based on i.i.d. multivariate observations, drawn from a standard heavy-tailed distribution, i.e. of which 1-d Pareto-like marginals share the same tail index. A multivariate…

In this work, we consider a multivariate regression model with one-sided errors. We assume for the regression function to lie in a general H\"{o}lder class and estimate it via a nonparametric local polynomial approach that consists of…

We propose a new measure related with tail dependence in terms of correlation: quantile correlation coefficient of random variables X, Y. The quantile correlation is defined by the geometric mean of two quantile regression slopes of X on Y…

Robust and sparse estimation of linear regression coefficients is investigated. The situation addressed by the present paper is that covariates and noises are sampled from heavy-tailed distributions, and the covariates and noises are…

In this paper, we investigate score function-based tests to check the significance of an ultrahigh-dimensional sub-vector of the model coefficients when the nuisance parameter vector is also ultrahigh-dimensional in linear models. We first…

There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…