相关论文: Negative Dependence Concept in Copulas and the Mar…
In the present paper, we study extreme negative dependence focussing on the concordance order for copulas. With the absence of a least element for dimensions $d\ge$ 3, the set of all minimal elements in the collection of all copulas turns…
In many practical scenarios, including finance, environmental sciences, system reliability, etc., it is often of interest to study the various notion of negative dependence among the observed variables. A new bivariate copula is proposed…
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…
Uncertain information on input parameters of reliability models is usually modeled by considering these parameters as random, and described by marginal distributions and a dependence structure of these variables. In numerous real-world…
Most common parametric families of copulas are totally ordered, and in many cases they are also positively or negatively regression dependent and therefore they lead to monotone regression functions, which makes them not suitable for…
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…
Motivated by recently investigated results on dependence measures and robust risk models, this paper provides an overview of dependence properties of many well-known bivariate copula families, where the focus is on the Schur order for…
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…
The key result of this paper is to characterize all the multivariate symmetric Bernoulli distributions whose sum is minimal under convex order. In doing so, we automatically characterize extremal negative dependence among Bernoulli random…
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 empirical copula process plays a central role in the asymptotic analysis of many statistical procedures which are based on copulas or ranks. Among other applications, results regarding its weak convergence can be used to develop…
The probabilistic characterization of the relationship between two or more random variables calls for a notion of dependence. Dependence modeling leads to mathematical and statistical challenges, and recent developments in extremal…
Rank-based dependence measures such as Spearman's footrule are robust and invariant, but they often fail to capture directional or asymmetric dependence in multivariate settings. This paper introduces a new family of directional Spearman's…
We develop improved rearrangement algorithms to find the dependence structure that minimizes a convex function of the sum of dependent variables with given margins. We propose a new multivariate dependence measure, which can assess the…
Copulas are a powerful tool for modeling multivariate distributions as they allow to separately estimate the univariate marginal distributions and the joint dependency structure. However, known parametric copulas offer limited flexibility…
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…
Being the limits of copulas of componentwise maxima in independent random samples, extreme-value copulas can be considered to provide appropriate models for the dependence structure between rare events. Extreme-value copulas not only arise…
Copula models have been widely used to model the dependence between continuous random variables, but modeling count data via copulas has recently become popular in the statistics literature. Spearman's rho is an appropriate and effective…
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…
We propose a new bivariate symmetric copula with positive and negative dependence properties. The main features of the proposed copula are its simple mathematical structure, wider dependence range compared to FGM copula and its…