Related papers: Copula-Based Modeling of Fractional Inaccuracy: A …
We propose R\'enyi inaccuracy measure based on multivariate copula and multivariate survival copula, respectively dubbed as multivariate cumulative copula R\'enyi inaccuracy measure and multivariate survival copula R\'enyi inaccuracy…
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…
This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…
Building upon earlier work in which axioms were formulated for multivariate measures of concordance, we examine properties of such measures. In particular, we examine the relations between the measure of concordance of an $n$-copula and the…
For the analysis of clustered survival data, two different types of models that take the association into account, are commonly used: frailty models and copula models. Frailty models assume that conditional on a frailty term for each…
In this paper, we revisit the notion of partial copula, originally introduced to test conditional independence, highlighting its capability to represent the dependence between two random variables after removing their dependence with a…
We discuss the connection between information and copula theories by showing that a copula can be employed to decompose the information content of a multivariate distribution into marginal and dependence components, with the latter…
This paper addresses the problem of quantification and propagation of uncertainties associated with dependence modeling when data for characterizing probability models are limited. Practically, the system inputs are often assumed to be…
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…
A new index based on empirical copulas, termed the Copula Statistic (CoS), is introduced for assessing the strength of multivariate dependence and for testing statistical independence. New properties of the copulas are proved. They allow us…
The present article studies survival analytic aspects of semiparametric copula dependence models with arbitrary univariate marginals. The underlying survival functions admit a representation via exponent measures which have an…
A new class of copulas based on order statistics was introduced by Baker (2008). Here, further properties of the bivariate and multivariate copulas are described, such as that of likelihood ratio dominance (LRD), and further bivariate…
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…
Copulas are mathematical objects that fully capture the dependence structure among random variables and hence, offer a great flexibility in building multivariate stochastic models. In statistics, a copula is used as a general way of…
Following the theory of information measures based on the cumulative distribution function, we propose the fractional generalized cumulative entropy, and its dynamic version. These entropies are particularly suitable to deal with…
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…
Zero-inflated continuous data ubiquitously appear in many fields, in which lots of exactly zero-valued data are observed while others distribute continuously. Due to the mixed structure of discreteness and continuity in its distribution,…
Following our previous work on copula-based nonsymmetric bivariate dependence measures, we propose a new set of conditions on nonsymmetric multivariate dependence measures which characterize both independence and complete dependence of one…
Over the last couple of decades, several copula based methods have been proposed in the literature to test for the independence among several random variables. But these existing tests are not invariant under monotone transformations of the…
Fractional cumulative residual inaccuracy (FCRI) measure allows to determine regions of discrepancy between systems, depending on their respective fractional and chaotic map parameters. Most of the theoretical results and applications…