相关论文: Factor tree copula models for item response data

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…

We propose a novel framework for approximate factor models that integrates an S-vine copula structure to capture complex dependencies among common factors. Our estimation procedure proceeds in two steps: first, we apply principal component…

This paper considers the problem of invoking auxiliary, unobservable variables to facilitate the structuring of causal tree models for a given set of continuous variables. Paralleling the treatment of bi-valued variables in [Pearl 1986], we…

In recent years, conditional copulas, that allow dependence between variables to vary according to the values of one or more covariates, have attracted increasing attention. In high dimension, vine copulas offer greater flexibility compared…

Vine copulas are flexible dependence models using bivariate copulas as building blocks. If the parameters of the bivariate copulas in the vine copula depend on covariates, one obtains a conditional vine copula. We propose an extension for…

Vine copula models have become highly popular practical tools for modeling multivariate dependencies. To maintain tractability, a commonly employed simplifying assumption is that conditional copulas remain unchanged by the conditioning…

Latent factor model estimation typically relies on either using domain knowledge to manually pick several observed covariates as factor proxies, or purely conducting multivariate analysis such as principal component analysis. However, the…

Factor models are widely applied to the analysis of multivariate data across disparate fields of research. However, modern scientific data are often incomplete, and estimating a factor model from partially observed data can be very…

Although the independent censoring assumption is commonly used in survival analysis, it can be violated when the censoring time is related to the survival time, which often happens in many practical applications. To address this issue, we…

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…

Factor models are widely used for dimension reduction in the analysis of multivariate data. This is achieved through decomposition of a p x p covariance matrix into the sum of two components. Through a latent factor representation, they can…

In this paper, we propose a novel approach for estimating Archimedean copula generators in a conditional setting, incorporating endogenous variables. Our method allows for the evaluation of the impact of the different levels of covariates…

We study the informational content of factor structures in discrete triangular systems. Factor structures have been employed in a variety of settings in cross sectional and panel data models, and in this paper we formally quantify their…

Dependence modeling of multivariate count data has garnered significant attention in recent years. Multivariate elliptical copulas are typically preferred in statistical literature to analyze dependence between repeated measurements of…

We introduce a novel interpretable tree based algorithm for prediction in a regression setting. Our motivation is to estimate the unknown regression function from a functional decomposition perspective in which the functional components…

Integrating various data modalities brings valuable insights into underlying phenomena. Multimodal factor analysis (FA) uncovers shared axes of variation underlying different simple data modalities, where each sample is represented by a…

This paper is concerned with modeling the dependence structure of two (or more) time-series in the presence of a (possible multivariate) covariate which may include past values of the time series. We assume that the covariate influences…

We propose a copula based method to handle missing values in multivariate data of mixed types in multilevel data sets. Building upon the extended rank likelihood of \cite{hoff2007extending} and the multinomial probit model, our model is a…

Copulas have become an important tool in the modern best practice Enterprise Risk Management, often supplanting other approaches to modelling stochastic dependence. However, choosing the `right' copula is not an easy task, and the…

High-dimensional matrix-variate time series data are becoming widely available in many scientific fields, such as economics, biology, and meteorology. To achieve significant dimension reduction while preserving the intrinsic matrix…