相关论文: Construction of New Copulas with Queueing Applicat…

Modeling of high order multivariate probability distribution is a difficult problem which occurs in many fields. Copula approach is a good choice for this purpose, but the curse of dimensionality still remains a problem. In this paper we…

A new class of copulas, termed the MGL copula class, is introduced. The new copula originates from extracting the dependence function of the multivariate generalized log-Moyal-gamma distribution whose marginals follow the univariate…

Gaussian scale mixtures are constructed as Gaussian processes with a random variance. They have non-Gaussian marginals and can exhibit asymptotic dependence unlike Gaussian processes, which are asymptotically independent except in the case…

The replacement of indicator functions by integrated beta kernels in the definition of the empirical stable tail dependence function is shown to produce a smoothed version of the latter estimator with the same asymptotic distribution but…

We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature. In particular, we consider negative binomial and Poisson copulas and present a…

A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the…

The Copula is widely used to describe the relationship between the marginal distribution and joint distribution of random variables. The estimation of high-dimensional Copula is difficult, and most existing solutions rely either on…

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…

In many time-to-event studies, the event of interest is recurrent. Here, the data for each sample unit corresponds to a series of gap times between the subsequent events. Given a limited follow-up period, the last gap time might be…

Longitudinal and survival sub-models are two building blocks for joint modelling of longitudinal and time to event data. Extensive research indicates separate analysis of these two processes could result in biased outputs due to their…

The popular choice of using a $direct$ forecasting scheme implies that the individual predictions do not contain information on cross-horizon dependence. However, this dependence is needed if the forecaster has to construct, based on…

In this paper, we focus on stochastic comparisons of extreme order statistics stemming from multiple-outlier scale models with dependence. Archimedean copula is used to model dependence structure among nonnegative random variables.…

Weak convergence of the empirical copula process is shown to hold under the assumption that the first-order partial derivatives of the copula exist and are continuous on certain subsets of the unit hypercube. The assumption is…

When modeling the distribution of a multivariate continuous random vector using the so-called \emph{copula approach}, it is not uncommon to have ties in the coordinate samples of the available data because of rounding or lack of measurement…

Bi-factor and second-order models based on copulas are proposed for item response data, where the items can be split into non-overlapping groups such that there is a homogeneous dependence within each group. Our general models include the…

In biomedical studies, paired survival data arise naturally when two event times are observed within the same subject. Existing statistical models seldom accommodate both cure fractions and complex dependence structures. In this paper, we…

We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions…

This paper demonstrates that, under a particular convention, the convex functions that characterise the phi divergences also generate Archimedean copulas in at least two dimensions. As a special case, we develop the family of Archimedean…

Motivated by timeouts in Internet services, we consider networks of infinite server queues in which routing decisions are based on deadlines. Specifically, at each node in the network, the total service time equals the minimum of several…

Survival trees are popular alternatives to Cox or Aalen regression models that offer both modelling flexibility and graphical interpretability. This paper introduces a new algorithm for survival trees that relaxes the assumption of…