Zobrazeno 1 - 10
of 309
pro vyhledávání: '"Jaworski Piotr"'
Autor:
Jaworski Piotr
Publikováno v:
Dependence Modeling, Vol 11, Iss 1, Pp 96-120 (2023)
A family of bivariate copulas given by: for v+2u
Externí odkaz:
https://doaj.org/article/6908c2c8a99e4ba2b0035971f2438d6d
Autor:
Jaworski Piotr, Krzywda Marcin
Publikováno v:
Dependence Modeling, Vol 9, Iss 1, Pp 243-266 (2021)
We characterize the cumulative distribution functions and copulas of two-dimensional self-similar Ito processes, with randomly correlated Wiener margins, as solutions of certain elliptic partial differential equations.
Externí odkaz:
https://doaj.org/article/f54820c950d44bd2ae258712494df17c
Autor:
Jaworski Piotr
Publikováno v:
Dependence Modeling, Vol 7, Iss 1, Pp 322-347 (2019)
We study the dynamics of the family of copulas {Ct}t≥0 of a pair of stochastic processes given by stochastic differential equations (SDE). We associate to it a parabolic partial differential equation (PDE). Having embedded the set of bivariate copu
Externí odkaz:
https://doaj.org/article/3aba92ed43254e2189fab4fd756db093
We present a novel data-oriented statistical framework that assesses the presumed Gaussian dependence structure in a pairwise setting. This refers to both multivariate normality and normal copula goodness-of-fit testing. The proposed test clusters th
Externí odkaz:
http://arxiv.org/abs/2404.12696
Autor:
Jaworski Piotr
Publikováno v:
Dependence Modeling, Vol 5, Iss 1, Pp 1-19 (2017)
The paper deals with Conditional Value at Risk (CoVaR) for copulas with nontrivial tail dependence. We show that both in the standard and the modified settings, the tail dependence function determines the limiting properties of CoVaR as the condition
Externí odkaz:
https://doaj.org/article/ddd55f6374c140e3ab6febaa1d54932f
Autor:
Jaworski Piotr
Publikováno v:
Dependence Modeling, Vol 5, Iss 1, Pp 133-144 (2017)
The paper deals with the family of irreducible left truncation invariant bivariate copulas, which admit a nontrivial lower tail dependence function. Such copulas, similarly as the Archimedean ones, are characterized by a functional parameter, a gener
Externí odkaz:
https://doaj.org/article/efbb8bda81434d01a2292c3fef0fc1cf
Autor:
Krzempek, Karol, Jaworski, Piotr, Tenbrake, Lukas, Giefer, Florian, Meschede, Dieter, Hofferberth, Sebastian, Pfeifer, Hannes
We demonstrate a robust and miniaturized fiber Fabry-Perot cavity-based sensor for photothermal spectroscopic signal retrieval. The proof-of-concept experiment involved the use of a near-infrared pump laser to detect methane molecules on an isolated
Externí odkaz:
http://arxiv.org/abs/2311.12536
Autor:
Jaworski, Piotr1 (AUTHOR) p.jaworski@mimuw.edu.pl, Zalewska, Anna2 (AUTHOR) anna.zalewska@pw.edu.pl
Publikováno v:
Mathematics (2227-7390). Dec2024, Vol. 12 Issue 23, p3766. 23p.
It is well known that while the independence of random variables implies zero correlation, the opposite is not true. Namely, uncorrelated random variables are not necessarily independent. In this note we show that the implication could be reversed if
Externí odkaz:
http://arxiv.org/abs/2210.16655
Publikováno v:
In Journal of Multivariate Analysis March 2025 206