Results 1 to 10 of about 95 (94)
Discovery of critical thresholds in mixed exposures and estimation of policy intervention effects [PDF]
Journal of Causal InferenceRegulations of chemical exposures often focus on individual substances, neglecting the amplified toxicity that can arise from multiple concurrent exposures.
McCoy David B. +3 more
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A combinatorial proof of the Gaussian product inequality beyond the MTP2 case
Dependence Modeling, 2022 A combinatorial proof of the Gaussian product inequality (GPI) is given under the assumption that each component of a centered Gaussian random vector X=(X1,…,Xd){\boldsymbol{X}}=\left({X}_{1},\ldots ,{X}_{d}) of arbitrary length can be written as a ...
Genest Christian, Ouimet Frédéric
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Generating unfavourable VaR scenarios under Solvency II with patchwork copulas
Dependence Modeling, 2021 The central idea of the paper is to present a general simple patchwork construction principle for multivariate copulas that create unfavourable VaR (i.e. Value at Risk) scenarios while maintaining given marginal distributions.
Pfeifer Dietmar, Ragulina Olena
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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
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Fast inference methods for high-dimensional factor copulas
Dependence Modeling, 2022 Gaussian factor models allow the statistician to capture multivariate dependence between variables. However, they are computationally cumbersome in high dimensions and are not able to capture multivariate skewness in the data.
Verhoijsen Alex, Krupskiy Pavel
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A Model for Liver Homeostasis Using Modified Mean‐Reverting Ornstein–Uhlenbeck Process
Computational and Mathematical Methods in Medicine, Volume 11, Issue 1, Page 27-47, 2010., 2010 Short of a liver biopsy, hepatic disease and drug‐induced liver injury are diagnosed and classified from clinical findings, especially laboratory results. It was hypothesized that a healthy hepatic dynamic equilibrium might be modelled by an Ornstein–Uhlenbeck (OU) stochastic process, which might lead to more sensitive and specific diagnostic criteria.
D. C. Trost +4 more
wiley +1 more source
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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On a zonal polynomial integral
Journal of Applied Mathematics, Volume 2003, Issue 11, Page 569-573, 2003., 2003 A certain multiple integral occurring in the studies of Beherens‐Fisher multivariate problem has been evaluated by Mathai et al. (1995) in terms of invariant polynomials. However, this paper explicitly evaluates the context integral in terms of zonal polynomials, thus establishing a relationship between zonal polynomial integrals and invariant ...
A. K. Gupta, D. G. Kabe
wiley +1 more source
Dependence Modeling, 2013 We study the impact of certain transformations within the class of Archimedean copulas. We give some admissibility conditions for these transformations, and define some equivalence classes for both transformations and generators of Archimedean copulas ...
Di Bernardino Elena, Rullière Didier
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Bayesian estimation of generalized partition of unity copulas
Dependence Modeling, 2020 This paper proposes a Bayesian estimation algorithm to estimate Generalized Partition of Unity Copulas (GPUC), a class of nonparametric copulas recently introduced by [18].
Masuhr Andreas, Trede Mark
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