Zobrazeno 1 - 10
of 44
pro vyhledávání: '"Gery Geenens"'
Autor:
Gery Geenens
Publikováno v:
Mathematics, Vol 12, Iss 3, p 380 (2024)
In this short communication, I share some personal thoughts on Sklar’s theorem and copulas after reading the original paper (Sklar, 1959) in French. After providing a literal translation of Sklar’s original statements, I argue that the modern ver
Externí odkaz:
https://doaj.org/article/a9d20d9a04a641c8afb5ae0ebd3a6c9a
Autor:
Gery Geenens
Publikováno v:
Dependence Modeling, Vol 8, Iss 1, Pp 417-440 (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 t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1c17ab69abac2a35ae494e8f7b2596f0
https://doaj.org/article/df5ca817405c44bab44ea7ce4c2fdfdd
https://doaj.org/article/df5ca817405c44bab44ea7ce4c2fdfdd
Publikováno v:
Journal of the American Statistical Association. 117:639-653
In this paper, the defining properties of a valid measure of the dependence between two random variables are reviewed and complemented with two original ones, shown to be more fundamental than other usual postulates. While other popular choices are p
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::e7b521632f83f4c7834d6f38cab8ee9e
https://doi.org/10.1080/01621459.2020.1791132
https://doi.org/10.1080/01621459.2020.1791132
The concept of depth has proved very important for multivariate and functional data analysis, as it essentially acts as a surrogate for the notion of ranking of observations which is absent in more than one dimension. Motivated by the rapid developme
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::35e1079de1772a9b8a2352a44127fdea
http://arxiv.org/abs/2107.13779
http://arxiv.org/abs/2107.13779
Publikováno v:
Journal of Multivariate Analysis. 168:30-47
Wavelet estimators for a probability density f enjoy many good properties, however they are not ‘shape-preserving’ in the sense that the final estimate may not be non-negative or integrate to unity. A solution to negativity issues may be to estim
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::a39cc071076629d90047834e606e7116
https://doi.org/10.1016/j.jmva.2018.07.002
https://doi.org/10.1016/j.jmva.2018.07.002
Autor:
Craig Wang, Gery Geenens
Publikováno v:
Journal of Computational and Graphical Statistics. 27:822-835
The kernel estimator is known not to be adequate for estimating the density of a positive random variable X. The main reason is the well-known boundary bias problems that it suffers from, but also its poor behaviour in the long right tail that such a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::552602b63af9bc0b0b0cb26d7e20e3b2
https://doi.org/10.1080/10618600.2018.1424636
https://doi.org/10.1080/10618600.2018.1424636
Publikováno v:
Water Resources Research. 54:1252-1280
The increasing availability of earth observations necessitates mathematical methods to optimally combine such data with hydrologic models. Several algorithms exist for such purposes, under the umbrella of data assimilation (DA). However, DA methods a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::42840305612cae48fccb3bb1b123bb35
https://doi.org/10.1002/2018wr022627
https://doi.org/10.1002/2018wr022627
Autor:
Gery Geenens, Thomas Cuddihy
Publikováno v:
Journal of the Royal Statistical Society Series A: Statistics in Society. 181:1009-1031
Summary In international football (soccer), two-legged knockout ties, with each team playing at home in one leg and the final outcome decided on aggregate, are common. Many players, managers and followers seem to believe in ‘second-leg home advanta
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::a429ce6639a19b1e8ac30b033ffb2f50
https://doi.org/10.1111/rssa.12338
https://doi.org/10.1111/rssa.12338
Autor:
Gery Geenens
Publikováno v:
Statistics & Probability Letters. 107:369-377
Recently, some nonparametric regression ideas have been extended to the functional context, allowing infinite-dimensional regressors. This paper gives a deep asymptotic study of the functional Nadaraya–Watson estimator, including moments of all ord
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::0048498eea63f40f838022fd822d333c
https://doi.org/10.1016/j.spl.2015.09.015
https://doi.org/10.1016/j.spl.2015.09.015
Autor:
Richard A. Dunn, Gery Geenens
Value-at-Risk and its conditional allegory, which takes into account the available information about the economic environment, form the centrepiece of the Basel framework for the evaluation of market risk in the banking sector. A new nonparametric fr
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::16d1752482fe6898f96995dc7cfea3ab