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A regionalisation approach for rainfall based on extremal dependence
To mitigate the risk posed by extreme rainfall events, we require statistical models that reliably capture extremes in continuous space with...
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New fat-tail normality test based on conditional second moments with applications to finance
In this paper we introduce an efficient fat-tail measurement framework that is based on the conditional second moments. We construct a...
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Extremal dependence of random scale constructions
A bivariate random vector can exhibit either asymptotic independence or dependence between the largest values of its components. When used as a...
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Modeling dependence via copula of functionals of Fourier coefficients
The goal of this paper is to develop a measure for characterizing complex dependence between time series that cannot be captured by traditional...
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A Study of Bivariate Generalized Pareto Distribution and its Dependence Structure Among Model Parameters
Several variants of the classical bivariate and multivariate generalized Pareto distributions have been discussed and studied in the literature (see...
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Dependence Measures
There exist several measures for the strength and direction of dependence between two random variables. The most common ones are the Pearson...
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Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation
Association or interdependence of two stock prices is analyzed, and selection criteria for a suitable model developed in the present paper. The...
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Regime dependent interconnectedness among fuzzy clusters of financial time series
We analyze the dynamic structure of lower tail dependence coefficients within groups of assets defined such that assets belonging to the same group...
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Information matrix equivalence in the presence of censoring: a goodness-of-fit test for semiparametric copula models with multivariate survival data
Various goodness-of-fit tests are designed based on the so-called information matrix equivalence : if the assumed model is correctly specified, two...
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Upper and Lower Bounds for the Synchronizer Performance in Systems with Probabilistic Message Loss
In this paper, we revisit the performance of the α -synchronizer in distributed systems with probabilistic message loss as introduced in Függer et al....
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Studying the relationship between anxiety and school achievement: evidence from PISA data
Using the Programme for International Student Assessment (PISA) 2015 data for Italy, this paper offers a complete overview of the relationship...
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Sparse Reduced-Rank Regression
Under the high-dimensional multivariate regression framework in chapter 10 , researchers have considered...
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Case Study: Dependence Among German DAX Stocks
Understanding dependence among financial stocks is vital for option pricing and forecasting portfolio returns. Copula modeling has a long history in...
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Bayesian space-time gap filling for inference on extreme hot-spots: an application to Red Sea surface temperatures
We develop a method for probabilistic prediction of extreme value hot-spots in a spatio-temporal framework, tailored to big datasets containing...
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Clustering of financial instruments using jump tail dependence coefficient
In this paper, we propose a new clustering procedure for financial instruments. Unlike the prevalent clustering procedures based on time series...
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Reduced-Rank Regression Models with Two Sets of Regressors
In Chapter 2 , we have demonstrated the utility of the reduced-rank model for analyzing data on a large...
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The p-Value and Statistical Significance Testing
This chapter relates the probabilistic basics of statistical inference to the methodological debate about p-values and statistical significance. It...
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Descriptive Statistics
Statistics is an art of learning from data. One of the tasks to be performed after collecting data from any observed situation, phenomena, or...
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An extension of the Gumbel–Barnett family of copulas
The Gumbel–Barnett family of bivariate distributions with given marginals, is frequently used in theory and applications. This family has been...
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Perturbations of copulas and mixing properties
This paper explores the impact of perturbations of copulas on the dependence properties of the Markov chains they generate. We consider Markov chains...
