相关论文: Total positivity of copulas from a Markov kernel p…

We study the total positivity of the multiplicative convolution kernel T associated with the independent product of two random variables $B(a,b)$ and $\Gamma(c).$ This kernel is totally positive of infinite order if $b$ or $d = a+b -c$ are…

There exist many bivariate parametric copulas to model bivariate data with different dependence features. We propose a new bivariate parametric copula family that cannot only handle various dependence patterns that appear in the existing…

A notion of tail dependence based on operator regular variation is introduced for copulas, and the standard tail dependence used in the copula literature is included as a special case. The non-standard tail dependence with marginal power…

This paper introduces the \textit{weighted partial copula} function for testing conditional independence. The proposed test procedure results from these two ingredients: (i) the test statistic is an explicit Cramer-von Mises transformation…

This paper explores the impact of perturbations of copulas on the dependence properties of the Markov chains they generate. We consider Markov chains generated by perturbed copulas. Results are provided for the mixing coefficients…

We derive some key extremal features for $k$th order Markov chains that can be used to understand how the process moves between an extreme state and the body of the process. The chains are studied given that there is an exceedance of a…

As a motivating problem, we aim to study some special aspects of the marginal distributions of the order statistics for exchangeable and (more generally) for minimally stable non-negative random variables $T_{1},...,T_{r}$. In any case, we…

We demonstrate both analytically and numerically that the existing methods for measuring tail dependence in copulas may sometimes underestimate the extent of extreme co-movements of dependent risks and, therefore, may not always comply with…

We consider a family of multivariate distributions with heavy-tailed margins and the type I elliptical dependence structure. This class of risks is common in finance, insurance, environmental and biostatistic applications. We obtain the…

This paper introduces a new class of Cox models for dependent bivariate data. The impact of the covariate on the dependence of the variables is captured through the modification of their copula. Various classes of well known copulas are…

We study a broad class of asymmetric copulas introduced by Liebscher (2008) as a combination of multiple - usually symmetric - copulas. The main thrust of the paper is to provide new theoretical properties including exact tail dependence…

Let $E: y^2=x(x-a^2)(x+b^2)$ be an elliptic curve with full $2$-torsion group, where $a$ and $b$ are coprime integers and $2(a^2+b^2)$ is a square. Assume that the $2$-Selmer group of $E$ has rank two. We characterize all quadratic twists…

The Thoma cone is an infinite-dimensional locally compact space, which is closely related to the space of extremal characters of the infinite symmetric group. In another context, the Thoma cone appears as the set of parameters for totally…

Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key ingredients of the proposed tests are the empirical copula…

We present a classification theorem for closed smooth spin 2-connected 7-manifolds M. This builds on the almost-smooth classification from the first author's thesis. The main additional ingredient is an extension of the Eells-Kuiper…

An explicit sufficient condition on the hypercontractivity is derived for the Markov semigroup associated to a class of functional stochastic differential equations. Consequently, the semigroup $P_t$ converges exponentially to its unique…

After reviewing the main properties of time-evolutions of open quantum systems, some considerations about the positivity of factorized Markovian dynamics for bipartite systems are made. In particular, it is shown that the positivity of the…

We study the recurrence/transience phase transition for Markov chains on $\mathbb{R}_+$, $\mathbb{R}$, and $\mathbb{R}^2$ whose increments have heavy tails with exponent in $(1,2)$ and asymptotically zero mean. This is the infinite-variance…

We study the positivity and causality axioms for Markov categories as properties of dilations and information flow in Markov categories, and in variations thereof for arbitrary semicartesian monoidal categories. These help us show that…

All too often measuring statistical dependencies between financial time series is reduced to a linear correlation coefficient. However this may not capture all facets of reality. We study empirical dependencies of daily stock returns by…