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Linear structural equation models represent direct causal effects as directed edges and confounding factors as bidirected edges. An open problem is to identify the causal parameters from correlations between the nodes. We investigate…

Modeling the ratio of two dependent components as a function of covariates is a frequently pursued objective in observational research. Despite the high relevance of this topic in medical studies, where biomarker ratios are often used as…

We tackle the natural question of whether it is possible to estimate conditional distributions via Sklar's theorem by separately estimating the conditional distributions of the underlying copula and the marginals. Working with so-called…

We derive the sampling properties of random networks based on weights whose pairwise products parameterize independent Bernoulli trials. This enables an understanding of many degree-based network models, in which the structure of realized…

The paper discusses identification conditions, representations and relations of generalized least squares estimators of regression parameters in multivariate linear regression models such as seemingly unrelated and fixed effect panel…

By applying Sklar's theorem to the Multivariate Bernoulli Distribution (MBD), this paper proposes a framework to decouple marginal distributions from the dependence structure, clarifying interactions among binary variables. Explicit…

We show how to extract the implicit copula of a response vector from a Bayesian regularized regression smoother with Gaussian disturbances. The copula can be used to compare smoothers that employ different shrinkage priors and function…

The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional…

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…

We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns to the one of joint {\epsilon}-drawups,…

The standard central limit theorem with a Gaussian attractor for the sum of independent random variables may lose its validity in presence of strong correlations between the added random contributions. Here, we study this problem for…

Bidirectional causal relationships arising from mutual interactions between variables are commonly observed within biomedical, econometrical, and social science contexts. When such relationships are further complicated by unobserved…

In actuarial practice the dependency between contract limitations (deductibles, copayments) and health care expenditures are measured by the application of the Monte Carlo simulation technique. We propose, for the same goal, an alternative…

We develop a new ensemble of modular random graphs in which degree-degree correlations can be different in each module and the inter-module connections are defined by the joint degree-degree distribution of nodes for each pair of modules.…

The mathematical properties of a family of generalized beta distribution, including beta-normal, skewed-t, log-F, beta-exponential, beta-Weibull distributions have recently been studied in several publications. This paper applies these…

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…

We are interested in investigating the statistical properties of extreme values for strongly correlated variables. The starting motivation is to understand how the strong-correlation properties of power-law distributed processes affect the…

In this paper, we study a continuous time structural asset value model for two correlated firms using a two-dimensional Brownian motion. We consider the situation of incomplete information, where the information set available to the market…

The emergence and evolution of real-world systems have been extensively studied in the last few years. However, equally important phenomena are related to the dynamics of systems' collapse, which has been less explored, especially when they…

The assumption of independence between observations (units) in a dataset is prevalent across various methodologies for learning causal graphical models. However, this assumption often finds itself in conflict with real-world data, posing…