Results 51 to 60 of about 114 (114)

SFB 823 Nonparametric inference on Lévy measures and copulas Discussion Paper Nonparametric inference on Lévy measures and copulas

open access: yes, 2020
In this paper nonparametric methods to assess the multivariate Lévy measure are introduced. Starting from high-frequency observations of a Lévy process X, we construct estimators for its tail integrals and the Pareto Lévy copula and prove weak ...
62m09, Axel Bücher, Mathias Vetter
core  

Towards a Theory of Negative Dependence

open access: yes, 1999
: The FKG theorem says that the POSITIVE LATTICE CONDITION, an easily checkable hypothesis which holds for many natural families of events, implies POSITIVE ASSOCIATION, a very useful property.
Robin Pemantle
core  

Fast estimation of Kendall's Tau and conditional Kendall's Tau matrices under structural assumptions

open access: yesDependence Modeling
Kendall’s tau and conditional Kendall’s tau matrices are multivariate (conditional) dependence measures between the components of a random vector. For large dimensions, available estimators are computationally expensive and can be improved by averaging ...
van der Spek Rutger, Derumigny Alexis
doaj   +1 more source

Metric Scaling Graphical Representation of Categorical Data

open access: yes, 1995
: Metric Scaling is a well--known method to represent a finite set with respect to a given Euclidean distance matrix. Several methods to represent rows and columns of a two--way contingency table are available: Correspondence Analysis, Dual Scaling ...
C. M. Cuadras, J. Fortiana
core  

Operator trigonometry of multivariate finance

open access: yes
We inquire into an operator-trigonometric analysis of certain multi-asset financial pricing models. Our goal is to provide a new geometric point of view for the understanding and analysis of such financial instruments.
Gustafson, Karl
core  

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