Related papers: Minimum Copula Divergence for Robust Estimation

Many real-life data sets can be analyzed using Linear Mixed Models (LMMs). Since these are ordinarily based on normality assumptions, under small deviations from the model the inference can be highly unstable when the associated parameters…

This paper deals with robust inference for parametric copula models. Estimation using Canonical Maximum Likelihood might be unstable, especially in the presence of outliers. We propose to use a procedure based on the Maximum Mean…

This paper presents a robust method for estimating copula models to evaluate dependence between failure modes in one-shot devices-systems designed for single use and destroyed upon activation. Traditional approaches, such as maximum…

In real life, we frequently come across data sets that involve some independent explanatory variable(s) generating a set of ordinal responses. These ordinal responses may correspond to an underlying continuous latent variable, which is…

In various practical situations, we encounter data from stochastic processes which can be efficiently modelled by an appropriate parametric model for subsequent statistical analyses. Unfortunately, the most common estimation and inference…

This paper develops a new family of estimators, the minimum density power divergence estimators (MDPDEs), for the parameters of the one-shot device model as well as a new family of test statistics, Z-type test statistics based on MDPDEs,…

We investigate robust parameter estimation and testing procedure for multivariate diffusion processes observed at high frequency via the minimum density power divergence estimator (MDPDE). Within a general diffusion framework and under…

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…

The purpose of this paper is to introduce two semiparametric methods for the estimation of copula parameter. These methods are based on minimum Alpha-Divergence between a non-parametric estimation of copula density using local likelihood…

Robust inferential methods based on divergences measures have shown an appealing trade-off between efficiency and robustness in many different statistical models. In this paper, minimum density power divergence estimators (MDPDEs) for the…

In this paper, we propose an efficient importance sampling algorithm for rare event simulation under copula models. In the algorithm, the derived optimal probability measure is based on the criterion of minimizing the variance of the…

M-estimators offer simple robust alternatives to the maximum likelihood estimator. Much of the robustness literature, however, has focused on the problems of location, location-scale and regression estimation rather than on estimation of…

The paper presents a new copula based method for measuring dependence between random variables. Our approach extends the Maximum Mean Discrepancy to the copula of the joint distribution. We prove that this approach has several advantageous…

This paper deals with a situation when one is interested in the dependence structure of a multidimensional response variable in the presence of a multivariate covariate. It is assumed that the covariate affects only the marginal…

Minimum divergence methods are popular tools in a variety of statistical applications. We consider tubular model adequacy tests, and demonstrate that the new divergences that are generated in the process are very useful in robust…

Multivariate datasets are common in various real-world applications. Recently, copulas have received significant attention for modeling dependencies among random variables. A copula-based information measure is required to quantify the…

Estimating location is a central problem in functional data analysis, yet most current estimation procedures either unrealistically assume completely observed trajectories or lack robustness with respect to the many kinds of anomalies one…

Dependence strucuture estimation is one of the important problems in machine learning domain and has many applications in different scientific areas. In this paper, a theoretical framework for such estimation based on copula and copula…

The semi-parametric Cox proportional hazards regression model has been widely used for many years in several applied sciences. However, a fully parametric proportional hazards model, if appropriately assumed, can often lead to more…

In this paper a new family of minimum divergence estimators based on the Bregman divergence is proposed, where the defining convex function has an exponential nature. These estimators avoid the necessity of using an intermediate kernel…