相关论文: Valid and Expressive Copulas for Irregular Multiva…

We propose a new copula model for replicated multivariate spatial data. Unlike classical models that assume multivariate normality of the data, the proposed copula is based on the assumption that some factors exist that affect the joint…

Copula-based methods provide a flexible approach to build missing data imputation models of multivariate data of mixed types. However, the choice of copula function is an open question. We consider a Bayesian nonparametric approach by using…

Forecasting irregularly sampled multivariate time series with missing values (IMTS) is a fundamental challenge in domains such as healthcare, climate science, and biology. While recent advances in vision and time series forecasting have…

Copula models are widely employed in multivariate time series analysis because they permit flexible modelling of marginal distributions independently of the dependence structure, which is fully characterised by the copula function. However,…

A time-varying bivariate copula joint model, which models the repeatedly measured longitudinal outcome at each time point and the survival data jointly by both the random effects and time-varying bivariate copulas, is proposed in this…

Irregular multivariate time series (IMTS) are characterized by irregular time intervals within variables and unaligned observations across variables, posing challenges in learning temporal and variable dependencies. Many existing IMTS…

Accurate uncertainty measurement is a key step to building robust and reliable machine learning systems. Conformal prediction is a distribution-free uncertainty quantification algorithm popular for its ease of implementation, statistical…

We propose a new copula model that can be used with replicated spatial data. Unlike the multivariate normal copula, the proposed copula is based on the assumption that a common factor exists and affects the joint dependence of all…

Key to effective generic, or "black-box", variational inference is the selection of an approximation to the target density that balances accuracy and speed. Copula models are promising options, but calibration of the approximation can be…

Several collective risk models have recently been proposed by relaxing the widely used but controversial assumption of independence between claim frequency and severity. Approaches include the bivariate copula model, random effect model,…

Probability density estimation is a central task in statistics. Copula-based models provide a great deal of flexibility in modelling multivariate distributions, allowing for the specifications of models for the marginal distributions…

Fully describing the entire data set is essential in multivariate risk assessment, since moderate levels of one variable can influence another, potentially leading it to be extreme. Additionally, modelling both non-extreme and extreme…

Irregular multivariate time series (IMTS) are prevalent in critical domains like healthcare and finance, where accurate forecasting is vital for proactive decision-making. However, the asynchronous sampling and irregular intervals inherent…

Copulas are now frequently used to construct or estimate multivariate distributions because of their ability to take into account the multivariate dependence of the different variables while separately specifying marginal distributions.…

We exploit Gaussian copulas to specify a class of multivariate circular distributions and obtain parametric models for the analysis of correlated circular data. This approach provides a straightforward extension of traditional multivariate…

Normalizing flows, a popular class of deep generative models, often fail to represent extreme phenomena observed in real-world processes. In particular, existing normalizing flow architectures struggle to model multivariate extremes,…

Implicit copulas are the most common copula choice for modeling dependence in high dimensions. This broad class of copulas is introduced and surveyed, including elliptical copulas, skew $t$ copulas, factor copulas, time series copulas and…

Study of recurrences in earthquakes, climate, financial time-series, etc. is crucial to better forecast disasters and limit their consequences. However, almost all the previous phenomenological studies involved only a long-ranged…

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…

Thanks to their ability to capture complex dependence structures, copulas are frequently used to glue random variables into a joint model with arbitrary marginal distributions. More recently, they have been applied to solve statistical…