Results 41 to 50 of about 119 (106)
Copula modeling for discrete random vectors
Dependence Modeling, 2020 Copulas have now become ubiquitous statistical tools for describing, analysing and modelling dependence between random variables. Sklar’s theorem, “the fundamental theorem of copulas”, makes a clear distinction between the continuous case and the ...
Geenens Gery
doaj +1 more source
Time series with infinite-order partial copula dependence
Dependence Modeling, 2022 Stationary and ergodic time series can be constructed using an s-vine decomposition based on sets of bivariate copula functions. The extension of such processes to infinite copula sequences is considered and shown to yield a rich class of models that ...
Bladt Martin, McNeil Alexander J.
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The de Finetti structure behind some norm-symmetric multivariate densities with exponential decay
Dependence Modeling, 2020 We derive a sufficient condition on the symmetric norm ||·|| such that the probability distribution associated with the density function f (x) ∝exp(−λ ||x||) is conditionally independent and identically distributed in the sense of de Finetti’s seminal ...
Mai Jan-Frederik
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A multivariate version of Gini's rank association coefficient
Primary 62H05, Secondary 62H20, Copulas, Gini's coefficient, Multivariate association,
Javad Behboodian +2 more
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New copulas based on general partitions-of-unity and their applications to risk management (part II)
Dependence Modeling, 2017 We present a constructive and self-contained approach to data driven infinite partition-of-unity copulas that were recently introduced in the literature.
Pfeifer Dietmar +2 more
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Checkerboard copula defined by sums of random variables
Dependence Modeling, 2020 We consider the problem of finding checkerboard copulas for modeling multivariate distributions. A checkerboard copula is a distribution with a corresponding density defined almost everywhere by a step function on an m-uniform subdivision of the unit ...
Kuzmenko Viktor +2 more
doaj +1 more source
Dependence Modeling, 2021 The paper investigates the Hoeffding–Sobol decomposition of homogeneous co-survival functions. For this class, the Choquet representation is transferred to the terms of the functional decomposition, and in addition to their individual variances, or to ...
Mercadier Cécile, Ressel Paul
doaj +1 more source
Generalized Mahalanobis depth in the reproducing kernel Hilbert space
Mahalanobis depth, Kernel method, Data depth, Statistical depth, 62H05, 62H30,
Chenping Hou +4 more
core +1 more source
On convergence of associative copulas and related results
Dependence Modeling, 2021 Triggered by a recent article establishing the surprising result that within the class of bivariate Archimedean copulas 𝒞ar different notions of convergence - standard uniform convergence, convergence with respect to the metric D1, and so-called weak ...
Kasper Thimo M. +2 more
doaj +1 more source
Item response theory for longitudinal data: Item and population ability parameters estimation
Logistic model, covariance structures, multivariate latent distribution, repeated measure, binary response, 62F10, 62H05, 62H12, 62J02,
Dalton Andrade, Heliton Tavares
core +1 more source