Related papers: 2-Cats: 2D Copula Approximating Transforms
We study the problem of approximating and learning coverage functions. A function $c: 2^{[n]} \rightarrow \mathbf{R}^{+}$ is a coverage function, if there exists a universe $U$ with non-negative weights $w(u)$ for each $u \in U$ and subsets…
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…
Deep latent variable models are powerful tools for representation learning. In this paper, we adopt the deep information bottleneck model, identify its shortcomings and propose a model that circumvents them. To this end, we apply a copula…
Many patterns in nature exhibit self-similarity: they can be compactly described via self-referential transformations. Said patterns commonly appear in natural and artificial objects, such as molecules, shorelines, galaxies and even images.…
In this work we are interested in identifying clusters of "positional equivalent" actors, i.e. actors who play a similar role in a system. In particular, we analyze weighted bipartite networks that describes the relationships between actors…
Rank-based dependence measures such as Spearman's footrule are robust and invariant, but they often fail to capture directional or asymmetric dependence in multivariate settings. This paper introduces a new family of directional Spearman's…
Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula…
Motivated by recently investigated results on dependence measures and robust risk models, this paper provides an overview of dependence properties of many well-known bivariate copula families, where the focus is on the Schur order for…
So far, one-factor copulas induce conditional independence with respect to a latent factor. In this paper, we extend one-factor copulas to conditionally dependent models. This is achieved through new representations which allow to build new…
In this paper, we analyze the relative errors in various reliability measures due to the tacit assumption that the components associated with a $n$-component series system or a parallel system are independently working where the components…
Testing for pairwise independence for the case where the number of variables may be of the same size or even larger than the sample size has received increasing attention in the recent years. We contribute to this branch of the literature…
A new class of bivariate distributions is introduced that extends the Generalized Marshall-Olkin distributions of Li and Pellerey (2011). Their dependence structure is studied through the analysis of the copula functions that they induce.…
We propose an approach to construct a new family of generalized Farlie-Gumbel-Morgenstern (GFGM) copulas that naturally scales to high dimensions. A GFGM copula can model moderate positive and negative dependence, cover different types of…
Fixing the relationship of a set of experimental quantities is a fundamental issue in many scientific disciplines. In the 2D case, the classical approach is to compute the linear correlation coefficient from a scatterplot. This method,…
Multivariate time series exhibit two types of dependence: across variables and across time points. Vine copulas are graphical models for the dependence and can conveniently capture both types of dependence in the same model. We derive the…
In this paper we propose a method for the approximation of high-dimensional functions over finite intervals with respect to complete orthonormal systems of polynomials. An important tool for this is the multivariate classical analysis of…
There are growing concerns for reserves estimation of incurred but not reported (IBNR) claims in actuarial sciences. In this paper, we propose a copula-based dependency model to capture the relationship between two main IBNR reserve…
In this paper, we construct a bound copula, which can reach both Frechet's lower and upper bounds for perfect positive and negative dependence cases. Since it covers a wide range of dependency and simple for computational purposes, it can…
The estimation of dependencies between multiple variables is a central problem in the analysis of financial time series. A common approach is to express these dependencies in terms of a copula function. Typically the copula function is…
Continual learning aims to enable a single model to learn a sequence of tasks without catastrophic forgetting. Top-performing methods usually require a rehearsal buffer to store past pristine examples for experience replay, which, however,…