相关论文: Block-Maxima of Vines
In this paper we consider the estimation problem for high quantiles of a heavy-tailed distribution from block data when only a few largest values are observed within blocks. We propose estimators for high quantiles and prove that these…
If we have a system of binary variables and we measure the pairwise correlations among these variables, then the least structured or maximum entropy model for their joint distribution is an Ising model with pairwise interactions among the…
Multivariate circular observations, i.e. points on a torus are nowadays very common. Multivariate wrapped models are often appropriate to describe data points scattered on p-dimensional torus. However, statistical inference based on this…
We propose a model for unbalanced longitudinal data, where the univariate margins can be selected arbitrarily and the dependence structure is described with the help of a D-vine copula. We show that our approach is an extremely flexible…
Markov chain Monte Carlo (MCMC) samplers are numerical methods for drawing samples from a given target probability distribution. We discuss one particular MCMC sampler, the MALA-within-Gibbs sampler, from the theoretical and practical…
The maximum volume ($\Omega$) of a droplet that can remain attached to a horizontal fiber defines the stability limit of droplet-fiber interactions, phenomena common in nature and critical to diverse engineering applications. Existing…
The paper focuses on a class of light-tailed multivariate probability distributions. These are obtained via a transformation of the margins from a heavy-tailed original distribution. This class was introduced in Balkema et al. (J.…
Amphiphilic block copolymers self-assemble into diverse nanoscale morphologies with significant implications for drug delivery. This work presents systematic Brownian dynamics simulations of multi-chain diblock and triblock copolymers…
Over the years data has become increasingly higher dimensional, which has prompted an increased need for dimension reduction techniques. This is perhaps especially true for clustering (unsupervised classification) as well as semi-supervised…
The block maxima approach, which consists of dividing a series of observations into equal sized blocks to extract the block maxima, is commonly used for identifying and modelling extreme events using the generalized extreme value (GEV)…
A Copula density estimation method that is based on a finite mixture of heterogeneous parametric copula densities is proposed here. More specifically, the mixture components are Clayton, Frank, Gumbel, T, and normal copula densities, which…
We study theoretically the entropic elasticity of a semi-flexible polymer, such as DNA, confined to two dimensions. Using the worm-like-chain model we obtain an exact analytical expression for the partition function of the polymer pulled at…
Analytic relations are derived for finite volume integrals over the radial distribution function of a fluid, so-called Kirkwood-Buff integrals. Closed form expressions are obtained for cubes and cuboids, the system shapes commonly employed…
In this paper, the estimation of the Integrated Covariance matrix from high-frequency data, for high dimensional stock price process, is considered. The Hayashi-Yoshida covolatility estimator is an improvement over Realized covolatility for…
We consider multivariate extreme value statistics for independent but nonidentically distributed random vectors. In particular, the data may have varying tail copulas and also heteroscedastic marginal distributions. Assuming smoothly…
Vine pair-copula constructions exist for a mix of continuous and ordinal variables. In some steps, this can involve estimating a bivariate copula for a pair of mixed continuous-ordinal variables. To assess the adequacy of copula fits for…
An accurate description of a columnar liquid crystal of hard disks at high packing fractions is presented using an improved free-volume theory. It is shown that the orientational entropy of the disks in the one-dimensional fluid direction…
Weak convergence of maxima of dependent sequences of identically distributed continuous random variables is studied under normalizing sequences arising as subsequences of the normalizing sequences from an associated iid sequence. This…
The block medium is modeled by a discrete-periodic spatial lattice of masses connected by elastic springs and viscous dampers. To describe the viscoelastic behavior of the interblock layers, a rheological model of internal friction with two…
The Multiplicative Error Model (Engle (2002)) for nonnegative valued processes is specified as the product of a (conditionally autoregressive) scale factor and an innovation process with nonnegative support. A multivariate extension allows…