Related papers: Testing Copula Hypothesis with Copula Entropy
Clustering task of mixed data is a challenging problem. In a probabilistic framework, the main difficulty is due to a shortage of conventional distributions for such data. In this paper, we propose to achieve the mixed data clustering with…
This paper presents the first application of Gaussian Mixture Copula Models to the statistical modeling of driving scenarios for the safety validation of automated driving systems. Knowledge of the joint probability distribution of scenario…
Gaussian copulas are widely used in the industry to correlate two random variables when there is no prior knowledge about the co-dependence between them. The perturbed Gaussian copula approach allows introducing the skew information of both…
In this paper, we propose a new test for the equality of several covariance functions for functional data. Its test statistic is taken as the supremum value of the sum of the squared differences between the estimated individual covariance…
In the present paper we propose a new estimator of entropy based on smooth estimators of quantile density. The consistency and asymptotic distribution of the proposed estimates are obtained. As a consequence, a new test of normality is…
Defining the entropy of classical particles raises a number of paradoxes and ambiguities, some of which have been known for over a century. Several, such as Gibbs' paradox, involve the fact that classical particles are distinguishable, and…
A frequent task in exploratory data analysis consists in examining pairwise dependencies between data variables. Popular approaches include visualizing correlation or scatter plot matrices. However, both methods can be misleading. The…
Copula models are flexible tools to represent complex structures of dependence for multivariate random variables. According to Sklar's theorem (Sklar, 1959), any d-dimensional absolutely continuous density can be uniquely represented as the…
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…
Many multiple testing procedures make use of the p-values from the individual pairs of hypothesis tests, and are valid if the p-value statistics are independent and uniformly distributed under the null hypotheses. However, it has recently…
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…
New in the probability theory and eventology theory, the concept of Kopula (eventological copula) is introduced. The theorem on the characterization of the sets of events by Kopula is proved, which serves as the eventological pre-image of…
Multivariate elliptically-contoured distributions are widely used for modeling correlated and non-Gaussian data. In this work, we study the kurtosis of the elliptical model, which is an important parameter in many statistical analysis.…
This paper explores conditions of existence of different types of consistent tests. New links of these types of consistency are also established. The existence of discernible (strong consistent) tests follows from the existence of pointwise…
The method of optimizing entropy is used to (i) conduct Asymptotic Hypothesis Testing and (ii) determine the particle distribution for which Entropy is maximized. This paper focuses on two related applications of Information Theory:…
We call two copulas tail equivalent if their first-order approximations in the tail coincide. As a special case, a copula is called tail symmetric if it is tail equivalent to the associated survival copula. We propose a novel measure and…
We consider statistical procedures for hypothesis testing of real valued functionals of matched pairs with missing values. In order to improve the accuracy of existing methods, we propose a novel multiplication combination procedure.…
Considering multivariate strongly mixing time series, nonparametric tests for a constant copula with specified or unspecified change point (candidate) are derived; the tests are consistent against general alternatives. A tapered block…
Density estimation is a fundamental technique employed in various fields to model and to understand the underlying distribution of data. The primary objective of density estimation is to estimate the probability density function of a random…
Most existing methods for testing equality of means of functional data from multiple populations rely on assumptions of equal covariance and/or Gaussianity. In this work we provide a new testing method based on a statistic that is…