相关论文: Block-Maxima of Vines
We consider the distribution of the sum and the maximum of a collection of independent exponentially distributed random variables. The focus is laid on the explicit form of the density functions (pdf) of non-i.i.d. sequences. Those are…
We establish a general theory of optimality for block bootstrap distribution estimation for sample quantiles under a mild strong mixing assumption. In contrast to existing results, we study the block bootstrap for varying numbers of blocks.…
There is an increasing interest to understand the dependence structure of a random vector not only in the center of its distribution but also in the tails. Extreme-value theory tackles the problem of modelling the joint tail of a…
Variational Bayes methods approximate the posterior density by a family of tractable distributions whose parameters are estimated by optimisation. Variational approximation is useful when exact inference is intractable or very costly. Our…
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)…
It is well known and readily seen that the maximum of $n$ independent and uniformly on $[0,1]$ distributed random variables, suitably standardised, converges in total variation distance, as $n$ increases, to the standard negative…
In this paper, we propose a new flexible distribution for data on the three-dimensional torus which we call a trivariate wrapped Cauchy copula. Our trivariate copula has several attractive properties. It has a simple form of density and…
An implicit Euler finite-volume scheme for general cross-diffusion systems with volume-filling constraints is proposed and analyzed. The diffusion matrix may be nonsymmetric and not positive semidefinite, but the diffusion system is assumed…
We study an unbiased estimator for the density of a sum of random variables that are simulated from a computer model. A numerical study on examples with copula dependence is conducted where the proposed estimator performs favourably in…
We propose a new class of extreme-value copulas which are extreme-value limits of conditional normal models. Conditional normal models are generalizations of conditional independence models, where the dependence among observed variables is…
The dimension of a block design is the maximum positive integer $d$ such that any $d$ of its points are contained in a proper subdesign. Pairwise balanced designs PBD$(v,K)$ have dimension at least two as long as not all points are on the…
A coarse-grained multi-blob description of polymer solutions is presented, based on soft, transferable effective interactions between bonded and non-bonded blobs. The number of blobs is chosen such that the blob density does not exceed…
We establish a theory for multivariate extreme value analysis of dynamical systems. Namely, we provide conditions adapted to the dynamical setting which enable the study of dependence between extreme values of the components of…
In this paper, we aim to estimate block-diagonal covariance matrices for Gaussian data in high dimension and in fixed dimension. We first estimate the block-diagonal structure of the covariance matrix by theoretical and practical estimators…
Copulas, generalized estimating equations, and generalized linear mixed models promote the analysis of grouped data where non-normal responses are correlated. Unfortunately, parameter estimation remains challenging in these three…
In this paper, we continue Voiculescu's recent work on the analogous extreme value theory in the context of bi-free probability theory. We derive various equivalent conditions for a bivariate distribution function to be bi-freely…
The bivariate normal density with unit variance and correlation $\rho$ is well-known. We show that by integrating out $\rho$, the result is a function of the maximum norm. The Bayesian interpretation of this result is that if we put a…
Copulas allow a flexible and simultaneous modeling of complicated dependence structures together with various marginal distributions. Especially if the density function can be represented as the product of the marginal density functions and…
The distribution of block maxima of sequences of independent and identically-distributed random variables is used to model extreme values in many disciplines. The traditional extreme value (EV) theory derives a closed-form expression for…
We study the limit distribution of the largest fitness for two models of weakly correlated and identically distributed random fitnesses. The correlated fitness is given by a linear combination of a fixed number of independent random…