Related papers: On the minimum information checkerboard copulas un…
To disentangle the complex non-stationary dependence structure of precipitation extremes over the entire contiguous U.S., we propose a flexible local approach based on factor copula models. Our sub-asymptotic spatial modeling framework…
We study the minimax estimation of $\alpha$-divergences between discrete distributions for integer $\alpha\ge 1$, which include the Kullback--Leibler divergence and the $\chi^2$-divergences as special examples. Dropping the usual…
Mutual information between particle positions before and after mixing provides a universal assumption-free measure of mixing efficiency at low Reynolds number which accounts for the kinematic reversibility of the Stokes equation. For a…
This paper studies the estimation of low-rank Markov chains from empirical trajectories. We propose a non-convex estimator based on rank-constrained likelihood maximization. Statistical upper bounds are provided for the Kullback-Leiber…
Motivated by modern data forms such as images and multi-view data, the multi-attribute graphical model aims to explore the conditional independence structure among vectors. Under the Gaussian assumption, the conditional independence between…
The minimization of some multivariate risk indicators may be used as an allocation method, as proposed in C\'enac et al. [6]. The aim of capital allocation is to choose a point in a simplex, according to a given criterion. In a previous…
Convergent cross mapping (CCM) provides a powerful technique for exploring causal relationships in nonlinear coupled systems. The method relies on Takens' theorem exploiting that time delay embeddings of infinite length general observations…
This paper is concerned with adaptive signal control problems on a road network, using a link-based kinematic wave model (Han et al., 2012). Such a model employs the Lighthill-Whitham-Richards model with a triangular fundamental diagram. A…
We study the approximation of arbitrary distributions $P$ on $d$-dimensional space by distributions with log-concave density. Approximation means minimizing a Kullback--Leibler-type functional. We show that such an approximation exists if…
Regression analysis is one of the most popularly used statistical technique which only measures the direct effect of independent variables on dependent variable. Path analysis looks for both direct and indirect effects of independent…
We develop adaptive estimation and inference methods for high-dimensional Gaussian copula regression that achieve the same performance without the knowledge of the marginal transformations as that for high-dimensional linear regression.…
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…
Modeling the ratio of two dependent components as a function of covariates is a frequently pursued objective in observational research. Despite the high relevance of this topic in medical studies, where biomarker ratios are often used as…
Copulas are functions that describe dependence structures of random vectors, without describing their univariate marginals. In statistics, the separation is sometimes useful, the quality and/or quantity of available information on these two…
Experimental designs are tools which can drastically reduce the number of simulations required by time-consuming computer codes. One strategy for selecting the values of the inputs, whose response is to be observed, is to choose these…
Worst-case bounds on the expected shortfall risk given only limited information on the distribution of the random variables has been studied extensively in the literature. In this paper, we develop a new worst-case bound on the expected…
Copulas are a powerful tool to model dependence between the components of a random vector. One well-known class of copulas when working in two dimensions is the Farlie-GumbelMorgenstern (FGM) copula since their simple analytic shape enables…
In this work, we address optimization problems where the objective function is a nonlinear function of an expected value, i.e., compositional stochastic {strongly convex programs}. We consider the case where the decision variable is not…
This article proposes a space-efficient approximation to empirical tail dependence coefficients of an indefinite bivariate stream of data. The approximation, which has stream-length invariant error bounds, utilises recent work on the…
This paper deals with dependence across marginally exponentially distributed arrival times, such as default times in financial modeling or inter-failure times in reliability theory. We explore the relationship between dependence and the…