相关论文: Pair copula constructions of point-optimal sign-ba…

As the meta-analysis of more than one diagnostic tests can impact clinical decision making and patient health, there is an increasing body of research in models and methods for meta-analysis of studies comparing multiple diagnostic tests.…

We propose a two-stage estimation procedure for a copula-based model with semi-competing risks data, where the non-terminal event is subject to dependent censoring by the terminal event, and both events are subject to independent censoring.…

This paper considers two-sided tests for the parameter of an endogenous variable in an instrumental variable (IV) model with heteroskedastic and autocorrelated errors. We develop the finite-sample theory of weighted-average power (WAP)…

Focusing on polygenic signal detection in high dimensional genetic association studies of complex traits, we develop an adaptive test for generalized linear models to accommodate different alternatives. To facilitate valid post-selection…

We study the weak convergence of conditional empirical copula processes, when the conditioning event has a nonzero probability. The validity of several bootstrap schemes is stated, including the exchangeable bootstrap. We define general -…

Tests for break points detection in the law of random vectors have been proposed in several papers. Nevertheless, they have often little powers for alternatives involving a change in the dependence between components of vectors. Specific…

We explore various estimators for the parameters of a pair-copula construction (PCC), among those the stepwise semiparametric (SSP) estimator, designed for this dependence structure. We present its asymptotic properties, as well as the…

The continuous extension of a discrete random variable is amongst the computational methods used for estimation of multivariate normal copula-based models with discrete margins. Its advantage is that the likelihood can be derived…

A factor copula model is proposed in which factors are either simulable or estimable from exogenous information. Point estimation and inference are based on a simulated methods of moments (SMM) approach with non-overlapping simulation…

We consider statistical procedures for hypothesis testing of real valued functionals of matched pairs with missing values. In order to improve the accuracy of existing methods, we propose a novel multiplication combination procedure.…

Copula modelling has in the past decade become a standard tool in many areas of applied statistics. However, a largely neglected aspect concerns the design of related experiments. Particularly the issue of whether the estimation of copula…

In the setting of high-dimensional linear models with Gaussian noise, we investigate the possibility of confidence statements connected to model selection. Although there exist numerous procedures for adaptive point estimation, the…

In this paper, we develop a comprehensive asymptotic and bootstrap theory for checkerboard-based estimation of lower and upper tail copulas under unknown marginal distributions. The estimator is constructed via local bilinear (checkerboard)…

For multivariate distributions in the domain of attraction of a max-stable distribution, the tail copula and the stable tail dependence function are equivalent ways to capture the dependence in the upper tail. The empirical versions of…

Copula modeling has gained much attention in many fields recently with the advantage of separating dependence structure from marginal distributions. In real data, however, serious ties are often present in one or multiple margins, which…

The empirical copula process, a fundamental tool for copula inference, is studied in the high dimensional regime where the dimension is allowed to grow to infinity exponentially in the sample size. Under natural, weak smoothness assumptions…

We present a framework to compute non-Gaussian likelihoods for two-point correlation functions. The non-Gaussianity is most pronounced on large scales that will be well-measured by stage-IV weak-lensing surveys. We show how such a…

Based on two independent samples X_1,...,X_m and X_{m+1},...,X_n drawn from multivariate distributions with unknown Lebesgue densities p and q respectively, we propose an exact multiple test in order to identify simultaneously regions of…

The empirical beta copula is a simple but effective smoother of the empirical copula. Because it is a genuine copula, from which, moreover, it is particularly easy to sample, it is reasonable to expect that resampling procedures based on…

Variable selection can be performed by testing conditional independence (CI) between each predictor and the response, given the other predictors. A doubly robust and powerful option for these CI tests is the projected covariance measure…