Related papers: Valid and Expressive Copulas for Irregular Multiva…
We provide an integral representation for the (implied) copulas of dependent random variables in terms of their moment generating functions. The proof uses ideas from Fourier methods for option pricing. This representation can be used for a…
We present a non-parametric prognostic framework for individualized event prediction based on joint modeling of both longitudinal and time-to-event data. Our approach exploits a multivariate Gaussian convolution process (MGCP) to model the…
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…
We demonstrate how the uncertainty of parameter point estimates can be assessed in a maximum likelihood framework in order to prevent overfitting and erroneous detection of time-inhomogeneity. The class of models we consider are regular…
Conformal prediction (CP) has been a popular method for uncertainty quantification because it is distribution-free, model-agnostic, and theoretically sound. For forecasting problems in supervised learning, most CP methods focus on building…
This article proposes a space-efficient approximation to empirical tail dependence coefficients of an indefinite bivariate stream of data. The approximation, which has stream-length invariant error bounds, utilises recent work on the…
We propose a new semi-parametric distributional regression smoother that is based on a copula decomposition of the joint distribution of the vector of response values. The copula is high-dimensional and constructed by inversion of a pseudo…
We present a joint copula-based model for insurance claims and sizes. It uses bivariate copulae to accommodate for the dependence between these quantities. We derive the general distribution of the policy loss without the restrictive…
Copula modeling consists in finding a probabilistic distribution, called copula, whereby its coupling with the marginal distributions of a set of random variables produces their joint distribution. The present work aims to use this…
Risk evaluation is a forecast, and its validity must be backtested. Probability distribution forecasts are used in this work and allow for more powerful validations compared to point forecasts. Our aim is to use bivariate copulas in order…
This paper develops a general inferential framework for discrete copulas on finite supports in any dimension. The copula of a multivariate discrete distribution is defined as Csiszar's I-projection (i.e., the minimum-Kullback-Leibler…
Graphical Transformation Models (GTMs) are introduced as a novel approach to effectively model multivariate data with intricate marginals and complex dependency structures semiparametrically, while maintaining interpretability through the…
We propose a copula based method to handle missing values in multivariate data of mixed types in multilevel data sets. Building upon the extended rank likelihood of \cite{hoff2007extending} and the multinomial probit model, our model is a…
Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest…
Multitemporal hyperspectral unmixing (MTHU) aims to model variable endmembers and dynamical abundances, which emphasizes the critical temporal information. However, existing methods have limitations in modeling temporal dependency, thus…
Variational inference (VI) has become a widely used approach for scalable Bayesian inference, but its performance strongly depends on the flexibility of the chosen variational family. In this work, we propose a novel variational family that…
Our article is concerned with adaptive sampling schemes for Bayesian inference that update the proposal densities using previous iterates. We introduce a copula based proposal density which is made more efficient by combining it with…
Irregularly sampled multivariate time series (ISMTS) are prevalent in reality. Most existing methods treat ISMTS as synchronized regularly sampled time series with missing values, neglecting that the irregularities are primarily attributed…
The non-stationary nature of real-world Multivariate Time Series (MTS) data presents forecasting models with a formidable challenge of the time-variant distribution of time series, referred to as distribution shift. Existing studies on the…
We propose a new approach towards approximating the density-to-pair-density map based on copula theory from statistics. We extend the copula theory to multi-dimensional marginals, and deduce that one can describe any (exact or approximate)…