Related papers: Inference and Sampling for Archimax Copulas

When modeling multivariate phenomena, properly capturing the joint extremal behavior is often one of the many concerns. Archimax copulas appear as successful candidates in case of asymptotic dependence. In this paper, the class of Archimax…

This article introduces a non-parametric information-theoretic approach to inference about the tail of a continuous or a discrete distribution. Leveraging a new concept named tail profile -- a set of information-theoretic quantities…

In situations where both extreme and non-extreme data are of interest, modelling the whole data set accurately is important. In a univariate framework, modelling the bulk and tail of a distribution has been extensively studied before.…

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…

For the problem of estimating lower tail and upper tail copulas, we propose two bootstrap procedures for approximating the distribution of the corresponding empirical tail copulas. The first method uses a multiplier bootstrap of the…

In plasmas, distribution functions often demonstrate long anisotropic tails or otherwise significant deviations from local Maxwellians. The tails, especially if they are pulled out from the bulk, pose a serious challenge for numerical…

A complete and user-friendly directory of tails of Archimedean copulas is presented which can be used in the selection and construction of appropriate models with desired properties. The results are synthesized in the form of a decision…

We develop a general variational inference method that preserves dependency among the latent variables. Our method uses copulas to augment the families of distributions used in mean-field and structured approximations. Copulas model the…

Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme. Additionally, modelling both non-extreme and extreme…

Despite the successes of probabilistic models based on passing noise through neural networks, recent work has identified that such methods often fail to capture tail behavior accurately, unless the tails of the base distribution are…

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.…

This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…

Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of explicitly forecasting…

For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…

Real-world visual data often exhibits a long-tailed distribution, where some ''head'' classes have a large number of samples, yet only a few samples are available for ''tail'' classes. Such imbalanced distribution causes a great challenge…

Hierarchical Archimedean copulas (HACs) are multivariate uniform distributions constructed by nesting Archimedean copulas into one another, and provide a flexible approach to modeling non-exchangeable data. However, this flexibility in the…

The anomaly detection method presented by this paper has a special feature: it does not only indicate whether an observation is anomalous or not but also tells what exactly makes an anomalous observation unusual. Hence, it provides support…

In this thesis, the tail properties of multivariate Archimedean copulas are investigated using known representation theorems involving L1-norm symmetric distributions and the Williamson d-transform. Several new results on the asymptotic…

The quantitative analysis of financial time series often reveals two distinct features that standard Gaussian frameworks fail to capture: heavy-tailed marginal distributions and the phenomenon of extreme co-movements.While extreme value…

We study the empirical version of halfspace depths with the objective of establishing a connection between the rates of convergence and the tail behaviour of the corresponding underlying distributions. The intricate interplay between the…