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So called pair copula constructions (PCCs), specifying multivariate distributions only in terms of bivariate building blocks (pair copulas), constitute a flexible class of dependence models. To keep them tractable for inference and model…

We propose a new multivariate dependency measure. It is obtained by considering a Gaussian kernel based distance between the copula transform of the given d-dimensional distribution and the uniform copula and then appropriately normalizing…

This paper presents a novel proof that for any convex cone, the size of conically independent generators is at most twice that of minimum cardinality generators. While this result is known for linear spaces, we extend it to general cones…

We propose to construct copulas from the inversion of nonlinear state space models. These allow for new time series models that have the same serial dependence structure of a state space model, but with an arbitrary marginal distribution,…

This article studies one-generator and two-generator quasi-cyclic codes over finite fields. We present two versions of necessary and sufficient conditions for the symplectic selforthogonality of one-generator quasi-cyclic codes, using both…

Meta-elliptical copulas are often proposed to model dependence between the components of a random vector. They are specified by a correlation matrix and a map $g$, called density generator. While the latter correlation matrix can easily be…

We introduce a sufficient graphical model by applying the recently developed nonlinear sufficient dimension reduction techniques to the evaluation of conditional independence. The graphical model is nonparametric in nature, as it does not…

The existence of invariant generators for distributions satisfying a compatibility condition with the symmetry algebra is proved.

In this paper, we obtain general representations for the joint distributions and copulas of arbitrary dependent random variables absolutely continuous with respect to the product of given one-dimensional marginal distributions. The…

We investigate the algebra and geometry of the independence conditions on discrete random variables in which we fix some random variables and study the complete independence of some subcollections. We interpret such independence conditions…

Conditional copulas are flexible statistical tools that couple joint conditional and marginal conditional distributions. In a linear regression setting with more than one covariate and two dependent outcomes, we propose the use of additive…

In this paper we prove some uniqueness results for quadratic backward stochastic differential equations without any convexity assumptions on the generator. The bounded case is revisited while some new results are obtained in the unbounded…

This paper demonstrates that, under a particular convention, the convex functions that characterise the phi divergences also generate Archimedean copulas in at least two dimensions. As a special case, we develop the family of Archimedean…

This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…

While there is substantial need for dependence models in higher dimensions, most existing models quickly become rather restrictive and barely balance parsimony and flexibility. Hierarchical constructions may improve on that by grouping…

Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…

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.…

A novel inhomogeneous gauge transformation law is proposed for a non-Abelian adjoint two-form in four dimensions. Rules for constructing actions invariant under this are given. The auxiliary vector field which appears in some of these…

The copulas of random vectors with standard uniform univariate margins truncated from the right are considered and a general formula for such right-truncated conditional copulas is derived. This formula is analytical for copulas that can be…

In a previous work, we proved an existence result for BSDEs with quadratic generators with respect to the variable z and with unbounded terminal conditions. However, no uniqueness result was stated in that work. The main goal of this paper…