Related papers: Inference and Sampling for Archimax Copulas

We propose reinterpreting copula density estimation as a discriminative task. Under this novel estimation scheme, we train a classifier to distinguish samples from the joint density from those of the product of independent marginals,…

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…

We propose a novel approach for detecting change points in high-dimensional linear regression models. Unlike previous research that relied on strict Gaussian/sub-Gaussian error assumptions and had prior knowledge of change points, we…

With insurers benefiting from ever-larger amounts of data of increasing complexity, we explore a data-driven method to model dependence within multilevel claims in this paper. More specifically, we start from a non-parametric estimator for…

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…

While machine-learning models are flourishing and transforming many aspects of everyday life, the inability of humans to understand complex models poses difficulties for these models to be fully trusted and embraced. Thus, interpretability…

We introduce a new family of copula densities constructed from univariate distributions on $[0,1]$. Although our construction is structurally simple, the resulting family is versatile: it includes both smooth and irregular examples, and…

We consider distinguishing between two distribution tail models when tails of one model are lighter (or heavier) than those of the other. Two procedures are proposed: one scale-free and one location- and scale-free, and their asymptotic…

The problem of regression extrapolation, or out-of-distribution generalization, arises when predictions are required at test points outside the range of the training data. In such cases, the non-parametric guarantees for regression methods…

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…

The tail of the distribution of primordial fluctuations (corresponding to the likelihood of realization of large fluctuations) is of interest, from both theoretical and observational perspectives. In particular, it is relevant for the…

Copulas provide a modular parameterization of multivariate distributions that decouples the modeling of marginals from the dependencies between them. Gaussian Mixture Copula Model (GMCM) is a highly flexible copula that can model many kinds…

Variational Bayes methods approximate the posterior density by a family of tractable distributions whose parameters are estimated by optimisation. Variational approximation is useful when exact inference is intractable or very costly. Our…

We consider the problem of inference for non-stationary time series with heavy-tailed error distribution. Under a time-varying linear process framework we show that there exists a suitable local approximation by a stationary process with…

We study the problem of complexity estimation in the context of parallelizing an advanced Branch and Bound-type algorithm over graphical models. The algorithm's pruning power makes load balancing, one crucial element of every distributed…

Estimation of extreme value copulas is often required in situations where available data are sparse. Parametric methods may then be the preferred approach. A possible way of defining parametric families that are simple and, at the same…

The Copula is widely used to describe the relationship between the marginal distribution and joint distribution of random variables. The estimation of high-dimensional Copula is difficult, and most existing solutions rely either on…

We propose and analyze a new estimator of the covariance matrix that admits strong theoretical guarantees under weak assumptions on the underlying distribution, such as existence of moments of only low order. While estimation of covariance…

Multi-agent imitation learning aims to train multiple agents to perform tasks from demonstrations by learning a mapping between observations and actions, which is essential for understanding physical, social, and team-play systems. However,…

Frequency domain methods form a ubiquitous part of the statistical toolbox for time series analysis. In recent years, considerable interest has been given to the development of new spectral methodology and tools capturing dynamics in the…