Related papers: Minimum Copula Divergence for Robust Estimation

The anomaly detection method presented by this paper has a special feature: it does not only indicate whether an observation is anomalous or not but also tells what exactly makes an anomalous observation unusual. Hence, it provides support…

The construction of computer models (mathematical models implemented in computer codes), with respect to observed phenomena, is usually undertaken by building different variants depending on modeller sensibility, and choosing the one…

The empirical copula process, a fundamental tool for copula inference, is studied in the high dimensional regime where the dimension is allowed to grow to infinity exponentially in the sample size. Under natural, weak smoothness assumptions…

Functional data analysis is a fast evolving branch of statistics. Estimation procedures for the popular functional linear model either suffer from lack of robustness or are computationally burdensome. To address these shortcomings, a…

Accelerated life-tests (ALTs) are used for inferring lifetime characteristics of highly reliable products. In particular, step-stress ALTs increase the stress level at which units under test are subject at certain pre-fixed times, thus…

In linear regression, the least squares (LS) estimator has certain optimality properties if the errors are normally distributed. This assumption is often violated in practice, partly caused by data outliers. Robust estimators can cope with…

This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those…

We propose a minimum distance estimation method for robust regression in sparse high-dimensional settings. The traditional likelihood-based estimators lack resilience against outliers, a critical issue when dealing with high-dimensional…

The minimum covariance determinant (MCD) estimator is ubiquitous in multivariate analysis, the critical step of which is to select a subset of a given size with the lowest sample covariance determinant. The concentration step (C-step) is a…

In this work, we develop a numerical method to study the error estimates of the $\alpha$-stable central limit theorem under sublinear expectation with $\alpha \in(0,2)$, whose limit distribution can be characterized by a fully nonlinear…

In the last decade, simplified vine copula models have been an active area of research. They build a high dimensional probability density from the product of marginals densities and bivariate copula densities. Besides parametric models,…

Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…

This paper lays out a principled approach to compare copula forecasts via strictly consistent scores. We first establish the negative result that, in general, copulas fail to be elicitable, implying that copula predictions cannot sensibly…

It is well known that Principal Component Analysis (PCA) is strongly affected by outliers and a lot of effort has been put into robustification of PCA. In this paper we present a new algorithm for robust PCA minimizing the trimmed…

Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar's theorem, "the fundamental theorem of copulas", makes a clear distinction between the continuous case…

Model-based clustering techniques have been widely applied to various application areas, while most studies focus on canonical mixtures with unique component distribution form. However, this strict assumption is often hard to satisfy. In…

For two decades, reproducing kernels and their associated discrepancies have facilitated elegant theoretical analyses in the setting of quasi Monte Carlo. These same tools are now receiving interest in statistics and related fields, as…

Purpose: Monocular depth estimation (MDE) is vital for scene understanding in minimally invasive surgery (MIS). However, endoscopic video sequences are often contaminated by smoke, specular reflections, blur, and occlusions, limiting the…

The present contribution derives an explicit expression for (a version of) every uni- and multi-variate conditional distribution (i.e., Markov kernel) of Archimedean copulas and uses this representation to generalize a recently established…

Outliers can seriously distort statistical inference by inducing excessive sensitivity in the likelihood function, thereby compromising the reliability of Bayesian estimation. To address this issue, we develop a robust Bayesian estimation…