Related papers: Inference and Sampling for Archimax Copulas

We are studying the problems of modeling and inference for multivariate count time series data with Poisson marginals. The focus is on linear and log-linear models. For studying the properties of such processes we develop a novel conceptual…

This is an epistemological approach to errors in both inference and risk management, leading to necessary structural properties for the probability distribution. Many mechanisms have been used to show the emergence of fat tails. Here we…

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…

Classical models for multivariate or spatial extremes are mainly based upon the asymptotically justified max-stable or generalized Pareto processes. These models are suitable when asymptotic dependence is present, i.e., the joint tail…

We show how to construct the implied copula process of response values from a Bayesian additive regression tree (BART) model with prior on the leaf node variances. This copula process, defined on the covariate space, can be paired with any…

This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of $Phi$-divergences. An axiomatic framework for this purpose is provided, after which we…

The presence of measurement error is a widespread issue which, when ignored, can render the results of an analysis unreliable. Numerous corrections for the effects of measurement error have been proposed and studied, often under the…

We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and affects the joint dependence of all…

In risk management, tail risks are of crucial importance. The quality of a tail model, which is determined by data from an unknown distribution, depends critically on the subset of data used to model the tail. Based on a suitably weighted…

Nested Archimedean copulas recently gained interest since they generalize the well-known class of Archimedean copulas to allow for partial asymmetry. Sampling algorithms and strategies have been well investigated for nested Archimedean…

Strong anomalous diffusion is {often} characterized by a piecewise-linear spectrum of the moments of displacement. The spectrum is characterized by slopes $\xi$ and $\zeta$ for small and large moments, respectively, and by the critical…

The concept of intermediate tail dependence is useful if one wants to quantify the degree of positive dependence in the tails when there is no strong evidence of presence of the usual tail dependence. We first review existing studies on…

The normal distribution and its perturbation has left an immense mark on the statistical literature. Hence, several generalized forms were developed to model different skewness, kurtosis, and body shapes. However, it is not easy to…

It is argued that there is a need for fat-tailed distributions that become thin in the extreme tail. A 3-parameter distribution is introduced that visually resembles the t-distribution and interpolates between the normal distribution and…

Copula-based methods provide a flexible approach to build missing data imputation models of multivariate data of mixed types. However, the choice of copula function is an open question. We consider a Bayesian nonparametric approach by using…

We offer a survey of recent results on covariance estimation for heavy-tailed distributions. By unifying ideas scattered in the literature, we propose user-friendly methods that facilitate practical implementation. Specifically, we…

We establish a statistical learning theoretical framework aimed at extrapolation, or out-of-domain generalization, on the unobserved tails of covariates in continuous regression problems. Our strategy involves performing statistical…

The key to successful statistical analysis of bivariate extreme events lies in flexible modelling of the tail dependence relationship between the two variables. In the extreme value theory literature, various techniques are available to…

I report a new statistical distribution formulated to confront the infamous, long-standing, computational/modeling challenge presented by highly skewed and/or leptokurtic ("fat- or heavy-tailed") data. The distribution is straightforward,…

There is a growing interest in cell-type-specific analysis from bulk samples with a mixture of different cell types. A critical first step in such analyses is the accurate estimation of cell-type proportions in a bulk sample. Although many…