Related papers: Constructing Copulas Using Corrected Hermite Polyn…
A micropolar cohesive damage model for delamination of composites is proposed. The main idea is to embed micropolarity, which brings an additional layer of kinematics through the micro-rotation degrees of freedom within a continuum model to…
We explore the class of exchangeable Bernoulli distributions building on their geometrical structure. Exchangeable Bernoulli probability mass functions are points in a convex polytope and we have found analytical expressions for their…
A new nonparametric model of maximum-entropy (MaxEnt) copula density function is proposed, which offers the following advantages: (i) it is valid for mixed random vector. By `mixed' we mean the method works for any combination of discrete…
In this paper we use a set of partial differential equations to prove an expansion theorem for multiple complex Hermite polynomials. This expansion theorem allows us to develop a systematic and completely new approach to the complex Hermite…
Copulas are essential tools in statistics and probability theory, enabling the study of the dependence structure between random variables independently of their marginal distributions. Among the various types of copulas, Ratio-Type Copulas…
In this paper we present a novel approach for firm default probability estimation. The methodology is based on multivariate contingent claim analysis and pair copula constructions. For each considered firm, balance sheet data are used to…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
Most density functionals have been developed by imposing the known exact constraints on the exchange-correlation energy, or by a fit to a set of properties of selected systems, or by both. However, accurate modeling of the conventional…
This article proposes a calibration framework for complex option pricing models that jointly fits market option prices and the term structure of variance. Calibrated models under the conventional objective function, the sum of squared…
The rational covariance extension problem to determine a rational spectral density given a finite number of covariance lags can be seen as a matrix completion problem to construct an infinite-dimensional positive-definite Toeplitz matrix…
This paper deals with the problem of the multivariate copula density estimation. Using wavelet methods we provide two shrinkage procedures based on thresholding rules for which the knowledge of the regularity of the copula density to be…
The varying coefficient model has received broad attention from researchers as it is a powerful dimension reduction tool for non-parametric modeling. Most existing varying coefficient models fitted with polynomial spline assume equidistant…
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…
Vine copulas (or pair-copula constructions) have become an important tool for high-dimensional dependence modeling. Typically, so called simplified vine copula models are estimated where bivariate conditional copulas are approximated by…
An approach to the modelling of volatile time series using a class of uniformity-preserving transforms for uniform random variables is proposed. V-transforms describe the relationship between quantiles of the stationary distribution of the…
Computational homogenization is the gold standard for concurrent multi-scale simulations (e.g., FE2) in scale-bridging applications. Experimental and synthetic material microstructures are often represented by 3D image data. The…
This paper proposes multivariate copula models for hierarchical data. They account for two types of correlation: one is between variables measured on the same unit and the other is a correlation between units in the same cluster. This model…
We present a general scheme based on nonlinear response theory to calculate the expansion of correlation functions such as the pair-correlation function or the exchange-correlation hole of an inhomogeneous many-particle system in terms of…
An extension of the empirical copula is considered by combining an estimator of a multivariate cumulative distribution function with estimators of the marginal cumulative distribution functions for marginal estimators that are not…
In this paper, we consider bivariate composite models for modeling jointly different types of claims and their associated costs in a flexible manner. For expository purposes, the Gumbel copula is paired with the composite Weibull-Inverse…