Related papers: The checkerboard copula and dependence concepts
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
We develop a general variational inference method that preserves dependency among the latent variables. Our method uses copulas to augment the families of distributions used in mean-field and structured approximations. Copulas model the…
We tackle the natural question of whether it is possible to estimate conditional distributions via Sklar's theorem by separately estimating the conditional distributions of the underlying copula and the marginals. Working with so-called…
When scholars study joint distributions of multiple variables, copulas are useful. However, if the variables are not linearly correlated with each other yet are still not independent, most of conventional copulas are not up to the task.…
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…
In this paper, some general properties of Shannon information measures are investigated over sets of probability distributions with restricted marginals. Certain optimization problems associated with these functionals are shown to be…
This is the monograph on the theory and applications of copula entropy (CE). This book first introduces the theory of CE, including its background, definition, theorems, properties, and estimation methods. The theoretical applications of CE…
Given a probability distribution P, what is the minimum amount of bits needed to store a value x sampled according to P, such that x can later be recovered (except with some small probability)? Or, what is the maximum amount of uniform…
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…
Copulas are popular as models for multivariate dependence because they allow the marginal densities and the joint dependence to be modeled separately. However, they usually require that the transformation from uniform marginals to the…
Statistical independence and conditional independence are two fundamental concepts in statistics and machine learning. Copula Entropy is a mathematical concept defined by Ma and Sun for multivariate statistical independence measuring and…
The maximum entropy principle (MEP) is a method for obtaining the most likely distribution functions of observables from statistical systems, by maximizing entropy under constraints. The MEP has found hundreds of applications in ergodic and…
The Shannon entropy, and related quantities such as mutual information, can be used to quantify uncertainty and relevance. However, in practice, it can be difficult to compute these quantities for arbitrary probability distributions,…
Experimental designs are tools which can dramatically reduce the number of simulations required by time-consuming computer codes. Because we don't know the true relation between the response and inputs, designs should allow one to fit a…
The Shannon entropy, one of the cornerstones of information theory, is widely used in physics, particularly in statistical mechanics. Yet its characterization and connection to physics remain vague, leaving ample room for misconceptions and…
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…
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order…
We study offline change-point estimation for time series data exhibiting nonlinear serial dependence. To address this problem, we propose a copula-based Markov chain model with Weibull marginal distributions, which is suitable for modeling…
This paper introduces an innovative method for constructing copula models capable of describing arbitrary non-monotone dependence structures. The proposed method enables the creation of such copulas in parametric form, thus allowing the…
Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…