相关论文: On the connection between cherry-tree copulas and …

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…

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…

Generalized linear and additive models are very efficient regression tools but the selection of relevant terms becomes difficult if higher order interactions are needed. In contrast, tree-based methods also known as recursive partitioning…

When scholars study joint distributions of multiple variables, copulas are useful. However, if the variables are not linearly correlated with each other yet are still not independent, most of conventional copulas are not up to the task.…

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…

We employ and examine vine copulas in modeling symmetric and asymmetric dependency structures and forecasting financial returns. We analyze the asset allocations performed during the 2008-2009 financial crisis and test different portfolio…

Statistical independence and conditional independence are two fundamental concepts in statistics and machine learning. Copula Entropy is a mathematical concept defined by Ma and Sun for multivariate statistical independence measuring and…

Modeling high-dimensional dependencies while keeping likelihoods tractable remains challenging. Classical vine-copula pipelines are interpretable but can be expensive, while many neural estimators are flexible but less structured. In this…

We propose a generalisation of the logistic regression model, that aims to account for non-linear main effects and complex interactions, while keeping the model inherently explainable. This is obtained by starting with log-odds that are…

Copulas provide an attractive approach for constructing multivariate distributions with flexible marginal distributions and different forms of dependences. Of particular importance in many areas is the possibility of explicitly forecasting…

While there is considerable effort to identify signaling pathways using linear Gaussian Bayesian networks from data, there is less emphasis of understanding and quantifying conditional densities and probabilities of nodes given its parents…

The most widely used method for finding relationships between several quantities is multiple regression. This however is restricted to a single dependent variable. We present a more general method which allows models to be constructed with…

We construct the COpula Recursive Tree (CORT) estimator: a flexible, consistent, piecewise linear estimator of a copula, leveraging the patchwork copula formalization and various piecewise constant density estimators. While the patchwork…

In statistics, time-to-event analysis methods traditionally focus on the estimation of hazards. In recent years, machine learning methods have been proposed to directly predict the event times. We propose a method based on vine copula…

Our purpose is to model the dependence between two random variables, taking into account a priori knowledge on these variables. For example, in many applications (oceanography, finance...), there exists an order relation between the two…

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…

This paper presents a new approach for trees-based regression, such as simple regression tree, random forest and gradient boosting, in settings involving correlated data. We show the problems that arise when implementing standard…

We extend existing models in the financial literature by introducing a cluster-derived canonical vine (CDCV) copula model for capturing high dimensional dependence between financial time series. This model utilises a simplified…

We provide a set of copulas that can be interpreted as having the negative extreme dependence. This set of copulas is interesting because it coincides with countermonotonic copula for a bivariate case, and more importantly, is shown to be…

We develop a general variational inference method that preserves dependency among the latent variables. Our method uses copulas to augment the families of distributions used in mean-field and structured approximations. Copulas model the…