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pro vyhledávání: '"primary 62h05"'
Autor:
Omladič, Matjaž, Stopar, Nik
The aim of this paper is to present three construction methods for quasi-copulas based on recent developments: a representation of multivariate quasi-copulas by means of infima and suprema of copulas, an extension of a classical result on shuffles of
Externí odkaz:
http://arxiv.org/abs/2407.15393
Autor:
Levin, Bruce
In this report we generalize the game of Book or Band described in Levin (2024) to an arbitrary playing deck with $m$ ranks and $s$ cards in each rank, for a total of $t=ms$ cards. Two events (a band or a bump) are defined in terms of given non-negat
Externí odkaz:
http://arxiv.org/abs/2407.08062
Autor:
Das, Bikramjit, Fasen-Hartmann, Vicky
In the study of extremes, the presence of asymptotic independence signifies that extreme events across multiple variables are probably less likely to occur together. Although well-understood in a bivariate context, the concept remains relatively unex
Externí odkaz:
http://arxiv.org/abs/2406.19186
Autor:
Delhelle, Morine, Van Keilegom, Ingrid
In this paper we consider a time-to-event variable $T$ that is subject to random right censoring, and we assume that the censoring time $C$ is stochastically dependent on $T$ and that there is a positive probability of not observing the event. There
Externí odkaz:
http://arxiv.org/abs/2403.07963
Publikováno v:
Journal of Mathematical Analysis and Applications, 540 (2024)
In this paper, we introduce patchwork constructions for multivariate quasi-copulas. These results appear to be new since the kind of approach has been limited to either copulas or only bivariate quasi-copulas so far. It seems that the multivariate ca
Externí odkaz:
http://arxiv.org/abs/2309.15824
Autor:
Grothe Oliver, Rieger Jonas
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 30-47 (2024)
We analyze optimal low-rank approximations and correspondence analysis of the dependence structure given by arbitrary bivariate checkerboard copulas. Methodologically, we make use of the truncation of singular value decompositions of doubly stochasti
Externí odkaz:
https://doaj.org/article/d86785501fdb46d2a87c81bb9089b73a
We consider the truncated multivariate normal distributions for which every component is one-sided truncated. We show that this family of distributions is an exponential family. We identify $\mathcal{D}$, the corresponding natural parameter space, an
Externí odkaz:
http://arxiv.org/abs/2303.10287
Autor:
Pan Shenyi, Joe Harry
Publikováno v:
Dependence Modeling, Vol 12, Iss 1, Pp 45-63 (2024)
Vine pair-copula constructions exist for a mix of continuous and ordinal variables. In some steps, this can involve estimating a bivariate copula for a pair of mixed continuous-ordinal variables. To assess the adequacy of copula fits for such a pair,
Externí odkaz:
https://doaj.org/article/ad2c8558d98c40fab5b7ee688ba1d1e5
We propose a copula-based extension of the hidden Markov model (HMM) which applies when the observations recorded at each time in the sample are multivariate. The joint model produced by the copula extension allows decoding of the hidden states based
Externí odkaz:
http://arxiv.org/abs/2207.04127
Autor:
Letac, Gérard
Consider a measure $\mu$ on $\R^n$ generating a natural exponential family $F(\mu)$ with variance function $V_{F(\mu)}(m)$ and Laplace transform $$ \exp(\ell_{\mu}(s))=\int_{\R^n} \exp(-\)\mu(dx).$$ A dual measure $\mu^*$ satisfies $-\ell'_{\mu
Externí odkaz:
http://arxiv.org/abs/2104.05510