Related papers: Quantitative analysis of non-exchangeability in bi…
The concept of asymmetric copulas is revisited and is made more precise. We give a rigorous topological argument for opportunity to define asymmetry measures defined recently by K.F Siburg [6] through exhibiting at least three ordered…
We give new sufficient ergodicity conditions for two-state probabilistic cellular automata (PCA) of any dimension and any radius. The proof of this result is based on an extended version of the duality concept. Under these assumptions, in…
Copulas are becoming an essential tool in analyzing data thus encouraging interest in related questions. In the early stage of exploratory data analysis, say, it is helpful to know local copula bounds with a fixed value of a given measure…
Recently, a technique known as quantum symmetry test has gained increasing attention for detecting bipartite entanglement in pure quantum states. In this work we show that, beyond qualitative detection, a family of well-defined measures of…
Conditional copula models allow dependence structures to vary with observed covariates while preserving a separation between marginal behavior and association. We study the uniform asymptotic behavior of kernel-weighted local likelihood…
The class of index-mixed copulas is introduced and its properties are investigated. Index-mixed copulas are constructed from given base copulas and a random index vector, and show a rather remarkable degree of analytical tractability. The…
Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…
New copulas, based on perturbation theory, are introduced to clarify a \emph{symmetrization} procedure for asymmetric copulas. We give also some properties of the \emph{symmetrized} copula. Finally, we examine families of copulas with a…
We study a new measure of codependency in the second moment of a continuous-time multivariate asset price process, which we name the realized copula of volatility. The statistic is based on local volatility estimates constructed from…
Financial crises are usually associated with increased cross-sectional dependence between asset returns, causing asymmetry between the lower and upper tail of return distribution. The detection of asymmetric dependence is now understood to…
In this note, pointwise best-possible (lower and upper) bounds on the set of copulas with a given value of the Gini's gamma coefficient are established. It is shown that, unlike the best-possible bounds on the set of copulas with a given…
In recent years, conditional copulas, that allow dependence between variables to vary according to the values of one or more covariates, have attracted increasing attention. In high dimension, vine copulas offer greater flexibility compared…
A particle system is said to be non-exchangeable if two particles cannot be exchanged without modifying the overall dynamics. Because of this property, the classical mean-field approach fails to provide a limit equation when the number of…
This article proposes copula-based dependence quantification between multiple groups of random variables of possibly different sizes via the family of $Phi$-divergences. An axiomatic framework for this purpose is provided, after which we…
We propose a robust test for the equality of the covariance structures in two functional samples. The test statistic has a chi-square asymptotic distribution with a known number of degrees of freedom, which depends on the level of dimension…
Due to their parsimony, separable covariance models have been popular in modeling matrix-variate data. However, the inference from such a model may be misleading if the population covariance matrix $\Sigma$ is actually non-separable,…
Using a characterization of Mutual Complete Dependence copulas, we show that, with respect to the Sobolev norm, the MCD copulas can be approximated arbitrarily closed by shuffles of Min. This result is then used to obtain a characterization…
Focusing on the bipartite Stable Marriage problem, we investigate different robustness measures related to stable matchings. We analyze the computational complexity of computing them and analyze their behavior in extensive experiments on…
An overview of existing nonparametric tests of extreme-value dependence is presented. Given an i.i.d.\ sample of random vectors from a continuous distribution, such tests aim at assessing whether the underlying unknown copula is of the {\em…
The study of noncommutative solitons is greatly facilitated if the field equations are integrable, i.e. result from a linear system. For the example of a modified but integrable U(n) sigma model in 2+1 dimensions we employ the dressing…