Results 31 to 40 of about 489 (106)
Dependence Modeling, 2023 Working with shuffles, we establish a close link between Kendall’s τ\tau , the so-called length measure, and the surface area of bivariate copulas and derive some consequences.
Sánchez Juan Fernández +1 more
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Dependence of Stock Returns in Bull and Bear Markets
Dependence Modeling, 2013 Despite of its many shortcomings, Pearson’s rho is often used as an association measure for stock returns. A conditional version of Spearman’s rho is suggested as an alternative measure of association. This approach is purely nonparametric and avoids any
Dobric Jadran +2 more
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A topological proof of Sklar’s theorem in arbitrary dimensions
Dependence Modeling, 2022 Copulas are appealing tools in multivariate probability theory and statistics. Nevertheless, the transfer of this concept to infinite dimensions entails some nontrivial topological and functional analytic issues, making a deeper theoretical understanding
Benth Fred Espen +2 more
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A nonparametric test for comparing survival functions based on restricted distance correlation
Dependence Modeling, 2023 In this article, we propose an omnibus test for comparing two survival functions under non-proportional hazards. The test statistic is based on a product-limit estimate of the restricted distance correlation, which is closely related to the L2{L}_{2 ...
Zhang Qingyang
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Inference for elliptical copula multivariate response regression models
Electronic Journal of Statistics, 2019 The estimation of the coefficient matrix in a multivariate response linear regression model is considered in situations where we can observe only strictly increasing transformations of the continuous responses and covariates.
Yue Zhao, C. Genest
semanticscholar +1 more source
Polynomial bivariate copulas of degree five: characterization and some particular inequalities
Dependence Modeling, 2021 Bivariate polynomial copulas of degree 5 (containing the family of Eyraud-Farlie-Gumbel-Morgenstern copulas) are in a one-to-one correspondence to certain real parameter triplets (a, b, c), i.e., to some set of polynomials in two variables of degree 1: p(
Šeliga Adam +5 more
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A general correlation inequality and the Almost Sure Local Limit Theorem for random sequences in the domain of attraction of a stable law [PDF]
, 2013 In the present paper we obtain a new correlation inequality and use it for the purpose of extending the theory of the Almost Sure Local Limit Theorem to the case of lattice random sequences in the domain of attraction of a stable law.
Giuliano, Rita, Szewczak, Zbigniew S.
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Continuity of the maximum-entropy inference: Convex geometry and numerical ranges approach [PDF]
, 2015 We study the continuity of an abstract generalization of the maximum-entropy inference - a maximizer. It is defined as a right-inverse of a linear map restricted to a convex body which uniquely maximizes on each fiber of the linear map a continuous ...
Arleta Szko La +7 more
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Copula Relations in Compound Poisson Processes [PDF]
, 2014 We investigate in multidimensional compound Poisson processes (CPP) the relation between the dependence structure of the jump distribution and the dependence structure of the respective components of the CPP itself.
Palmes, Christian
core
A Central Limit Theorem for non-overlapping return times
, 2005 Define the non-overlapping return time of a random process to be the number of blocks that we wait before a particular block reappears. We prove a Central Limit Theorem based on these return times.
Johnson, Oliver
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