Related papers: Quantitative analysis of non-exchangeability in bi…
We introduce novel information-theoretic measures termed the multivariate cumulative copula fractional inaccuracy measure and the multivariate survival copula fractional inaccuracy measure, constructed respectively from multivariate copulas…
Exchangeability -- in which the distribution of an infinite sequence is invariant to reorderings of its elements -- implies the existence of a simple conditional independence structure that may be leveraged in the design of statistical…
To our knowledge, all known bipartite entanglement measures are symmetric under exchange of subsystems. We ask if an entanglement measure that is not symmetric can exist. A related question is if there is a state that cannot be swapped by…
In this paper, a robust non-parametric measure of statistical dependence, or correlation, between two random variables is presented. The proposed coefficient is a permutation-like statistic that quantifies how much the observed sample S_n :…
In this paper, we study a semiparametric family of bivariate copulas. The family is generated by an univariate function, determining the symmetry (radial symmetry, joint symmetry) and dependence property (quadrant dependence, total…
We study the separability of permutationally symmetric quantum states. We show that for bipartite symmetric systems most of the relevant entanglement criteria coincide. However, we provide a method to generate examples of bound entangled…
This paper studies permutation tests for regression parameters in a time series setting, where the time series is assumed stationary but may exhibit an arbitrary (but weak) dependence structure. In such a setting, it is perhaps surprising…
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…
A margin-free measure of bivariate association generalizing Spearman's rho to the case of non-monotonic dependence is defined in terms of two square integrable functions on the unit interval. Properties of generalized Spearman correlation…
Copula-based dependence modeling often relies on parametric formulations. This is mathematically convenient, but can be statistically inefficient when the parametric families are not suitable for the data and model in focus. A Bayesian…
The existence of incompatible measurements, i.e. measurements which cannot be performed simultaneously on a single copy of a quantum state, constitutes an important distinction between quantum mechanics and classical theories. While…
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…
The core of the classical block maxima method consists of fitting an extreme value distribution to a sample of maxima over blocks extracted from an underlying series. In asymptotic theory, it is usually postulated that the block maxima are…
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 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 limitation of permutation tests is that they assume exchangeability. It is shown that in generalized linear models one can construct permutation tests from score statistics in particular cases. When under the null hypothesis the…
Tests of equality of copulas between two samples are introduced and studied using the empirical Bernstein copula process. Three statistics are proposed and their asymptotic properties are established. Besides, a subsampling Bernstein…
In copula modeling, the simplifying assumption has recently been the object of much interest. Although it is very useful to reduce the computational burden, it remains far from obvious whether it is actually satisfied in practice. We…
Visualization and assessment of copula structures are crucial for accurately understanding and modeling the dependencies in multivariate data analysis. In this paper, we introduce an innovative method that employs functional boxplots and…
We consider a permutation method for testing whether observations given in their natural pairing exhibit an unusual level of similarity in situations where any two observations may be similar at some unknown baseline level. Under a null…