Related papers: High-dimensional copula-based Wasserstein dependen…

We present the first minimax risk bounds for estimators of the spectral measure in multivariate linear factor models, where observations are linear combinations of regularly varying latent factors. Non-asymptotic convergence rates are…

In this paper new tests for the independence of two high-dimensional vectors are investigated. We consider the case where the dimension of the vectors increases with the sample size and propose multivariate analysis of variance-type…

This paper takes a different look on the problem of testing the mutual independence of the components of a high-dimensional vector. Instead of testing if all pairwise associations (e.g. all pairwise Kendall's $\tau$) between the components…

We address an important yet challenging problem - modeling high-dimensional dependencies across multivariates such as financial indicators in heterogeneous markets. In reality, a market couples and influences others over time, and the…

Our article addresses the problem of flexibly estimating a multivariate density while also attempting to estimate its marginals correctly. We do so by proposing two new estimators that try to capture the best features of mixture of normals…

We consider a sparse high-dimensional varying coefficients model with random effects, a flexible linear model allowing covariates and coefficients to have a functional dependence with time. For each individual, we observe discretely sampled…

Following our previous work on copula-based nonsymmetric dependence measures, we introduce similar measures for discrete random variables. The measures cover the range between two extremes: independence and complete dependence, which take…

We suggest novel correlation coefficients which equal the maximum correlation for a class of bivariate Lancaster distributions while being only slightly smaller than maximum correlation for a variety of further bivariate distributions. In…

Variational methods are attractive for computing Bayesian inference for highly parametrized models and large datasets where exact inference is impractical. They approximate a target distribution - either the posterior or an augmented…

We propose the extension of Fr\'{e}chet-Hoeffding copula bounds for circular data. The copula is a powerful tool for describing the dependency of random variables. In two dimensions, the Fr\'{e}chet-Hoeffding upper (lower) bound indicates…

Parametric factor copula models typically work well in modeling multivariate dependencies due to their flexibility and ability to capture complex dependency structures. However, accurately estimating the linking copulas within these models…

We propose three measures of mutual dependence between multiple random vectors. All the measures are zero if and only if the random vectors are mutually independent. The first measure generalizes distance covariance from pairwise dependence…

In this paper, we study a generalization of the two-groups model in the presence of covariates --- a problem that has recently received much attention in the statistical literature due to its applicability in multiple hypotheses testing…

We investigate the problem of statistical inference for logistic regression with high-dimensional covariates in settings where dependence among individuals is induced by an underlying Markov random field. Going beyond the pairwise…

We present a framework to compute non-Gaussian likelihoods for two-point correlation functions. The non-Gaussianity is most pronounced on large scales that will be well-measured by stage-IV weak-lensing surveys. We show how such a…

We endeavour to estimate numerous multi-dimensional means of various probability distributions on a common space based on independent samples. Our approach involves forming estimators through convex combinations of empirical means derived…

We propose a new semi-parametric distributional regression smoother that is based on a copula decomposition of the joint distribution of the vector of response values. The copula is high-dimensional and constructed by inversion of a pseudo…

Use of copula for the purpose of modeling dependence has been receiving considerable attention in recent times. On the other hand, search for multivariate copulas with desirable dependence properties also is an important area of research.…

Modelling the extremal dependence of bivariate variables is important in a wide variety of practical applications, including environmental planning, catastrophe modelling and hydrology. The majority of these approaches are based on the…

We investigate the significance of change-points within fully nonparametric regression contexts, with a particular focus on panel data where data generation processes vary across units, and error terms may display complex dependency…