Related papers: A Multivariate Skew-Normal-Tukey-h Distribution

Gaussian distributions are widely used in Bayesian variational inference to approximate intractable posterior densities, but the ability to accommodate skewness can improve approximation accuracy significantly, when data or prior…

In longitudinal studies, repeated measures are collected over time and hence they tend to be serially correlated. In this paper we consider an extension of skew-normal/independent linear mixed models introduced by Lachos et al. (2010),…

Weibull distribution is widely used in modelling health data. However, its lack of sufficient tail flexibility often results in poor fit in extreme events. We proposed another three-parameter extension of the Weibull distribution with…

At high levels, the asymptotic distribution of a stationary, regularly varying Markov chain is conveniently given by its tail process. The latter takes the form of a geometric random walk, the increment distribution depending on the sign of…

We introduce a novel family of projected distributions on the circle and the sphere, namely the circular and spherical projected Cauchy distributions, as promising alternatives for modelling circular and spherical data. The circular…

We propose estimating the scale parameter (mean of the eigenvalues) of the scatter matrix of an unspecified elliptically symmetric distribution using weights obtained by solving Tyler's M-estimator of the scatter matrix. The proposed…

Learning the tail behavior of a distribution is a notoriously difficult problem. By definition, the number of samples from the tail is small, and deep generative models, such as normalizing flows, tend to concentrate on learning the body of…

Multivariate extreme value distributions are a common choice for modelling multivariate extremes. In high dimensions, however, the construction of flexible and parsimonious models is challenging. We propose to combine bivariate max-stable…

We consider the task of heavy-tailed statistical estimation given streaming $p$-dimensional samples. This could also be viewed as stochastic optimization under heavy-tailed distributions, with an additional $O(p)$ space complexity…

We introduce a multivariate hidden Markov model to jointly cluster time-series observations with different support, i.e. circular and linear. Relying on the general projected normal distribution, our approach allows for bimodal and/or…

For measuring tail risk with scarce extreme events, extreme value analysis is often invoked as the statistical tool to extrapolate to the tail of a distribution. The presence of large datasets benefits tail risk analysis by providing more…

Heavy-tailed distributions are frequently used to enhance the robustness of regression and classification methods to outliers in output space. Often, however, we are confronted with "outliers" in input space, which are isolated observations…

Most of previous works and applications of Bayesian factor model have assumed the normal likelihood regardless of its validity. We propose a Bayesian factor model for heavy-tailed high-dimensional data based on multivariate Student-$t$…

We propose a variational tail bound for norms of random vectors under moment assumptions on their one-dimensional marginals. A simplified version of the bound that parametrizes the ``aggregating distribution'' using a certain pushforward of…

We extend the construction principle of phase-type (PH) distributions to allow for inhomogeneous transition rates and show that this naturally leads to direct probabilistic descriptions of certain transformations of PH distributions. In…

This paper introduces a class of copula models for spatial data, based on multivariate Pareto-mixture distributions. We explore the tail properties of these models, demonstrating their ability to capture both tail dependence and asymptotic…

We introduce two classes of multivariate log skewed distributions with normal kernel: the log canonical fundamental skew-normal (log-CFUSN) and the log unified skew-normal (log-SUN). We also discuss some properties of the log-CFUSN family…

Tail dependence models for distributions attracted to a max-stable law are fitted using observations above a high threshold. To cope with spatial, high-dimensional data, a rank-based M-estimator is proposed relying on bivariate margins…

We propose new small-sphere distributional families for modeling multivariate directional data on $(\mathbb{S}^{p-1})^K$ for $p \ge 3$ and $K \ge 1$. In a special case of univariate directions in $\Re^3$, the new densities model random…

Many complex networks in natural and social phenomena have often been characterized by heavy-tailed degree distributions. However, due to rapidly growing size of network data and concerns on privacy issues about using these data, it becomes…