相关论文: Block-Maxima of Vines
We address an important yet challenging problem - modeling high-dimensional dependencies across multivariates such as financial indicators in heterogeneous markets. In reality, a market couples and influences others over time, and the…
Multivariate extreme value statistical analysis is concerned with observations on several variables which are thought to possess some degree of tail-dependence. In areas such as the modeling of financial and insurance risks, or as the…
In the multiple testing context, we utilize vine copulae for optimizing the effective number of tests. It is well known that for the calibration of multiple tests (for control of the family-wise error rate) the dependencies between the…
Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula…
We construct a block bootstrap max-test for detecting the presence of significant predictors in a high dimensional setting, allowing for weakly dependent and heterogeneous (possibly non-stationary) data. The number of covariates to be…
Testing the simplifying assumption in high-dimensional vine copulas is a difficult task. Tests must be based on estimated observations and check constraints on high-dimensional distributions. So far, corresponding tests have been limited to…
We propose a new method for estimating the extreme quantiles for a function of several dependent random variables. In contrast to the conventional approach based on extreme value theory, we do not impose the condition that the tail of the…
Multivariate time series exhibit two types of dependence: across variables and across time points. Vine copulas are graphical models for the dependence and can conveniently capture both types of dependence in the same model. We derive the…
Blocking is often used to reduce known variability in designed experiments by collecting together homogeneous experimental units. A common modelling assumption for such experiments is that responses from units within a block are dependent.…
We consider distributions of ordered random vectors with given one-dimensional marginal distributions. We give an elementary necessary and sufficient condition for the existence of such a distribution with finite entropy. In this case, we…
We generalize 2-Wasserstein dependence coefficients to measure dependence between a finite number of random vectors. This generalization includes theoretical properties, and in particular focuses on an interpretation of maximal dependence…
High-dimensional data sets are often available in genome-enabled predictions. Such data sets include nonlinear relationships with complex dependence structures. For such situations, vine copula based (quantile) regression is an important…
We investigate block designs, under the A- and MV-criteria, when each treatment can have only one or two replications due to resource constraints, as can happen, for example, in early generation varietal trials. While these are commonly…
This paper devises a regression-type model for the situation where both the response and covariates are extreme. The proposed approach is designed for the setting where both the response and covariates are themselves block maxima, and thus…
Block copolymer melts self-assemble in the bulk into a variety of nanostructures, making them perfect candidates to template the position of nanoparticles. The morphological changes of block copolymers are studied in the presence of a…
We show that all multivariate Extreme Value distributions, which are the possible weak limits of the $K$ largest order statistics of iid sequences, have the same copula, the so called K-extremal copula. This copula is described through…
The majority of finite mixture models suffer from not allowing asymmetric tail dependencies within components and not capturing non-elliptical clusters in clustering applications. Since vine copulas are very flexible in capturing these…
Simplified vine copulas (SVCs), or pair-copula constructions, have become an important tool in high-dimensional dependence modeling. So far, specification and estimation of SVCs has been conducted under the simplifying assumption, i.e., all…
Probability density estimation from observed data constitutes a central task in statistics. In this brief, we focus on the problem of estimating the copula density associated to any observed data, as it fully describes the dependence…
The block maxima method in extreme-value analysis proceeds by fitting an extreme-value distribution to a sample of block maxima extracted from an observed stretch of a time series. The method is usually validated under two simplifying…