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06/19/2023
Index-mixed copulas
Motivated by the construction of the often analytically tractable Farlie...
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02/07/2022
Dependence model assessment and selection with DecoupleNets
Neural networks are suggested for learning a map from d-dimensional samp...
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12/02/2021
RafterNet: Probabilistic predictions in multi-response regression
A fully nonparametric approach for making probabilistic predictions in m...
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11/15/2021
Single-Index Importance Sampling with Stratification
In many stochastic problems, the output of interest depends on an input ...
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10/07/2021
Smooth bootstrapping of copula functionals
The smooth bootstrap for estimating copula functionals in small samples ...
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01/28/2021
A new class of tail dependence measures and their maximization
A new class of measures of bivariate tail dependence is proposed, which ...
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12/15/2020
Applications of multivariate quasi-random sampling with neural networks
Generative moment matching networks (GMMNs) are suggested for modeling t...
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11/18/2020
Matrix compatibility and correlation mixture representation of generalized Gini's gamma
Representations of measures of concordance in terms of Pearson's correla...
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06/24/2020
Estimation and Comparison of Correlation-based Measures of Concordance
We address the problem of estimating and comparing transformed rank corr...
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06/17/2020
Right-truncated Archimedean and related copulas
The copulas of random vectors with standard uniform univariate margins t...
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03/30/2020
Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation
A large number of commonly used parametric Archimedean copula (AC) famil...
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03/18/2020
Random number generators produce collisions: Why, how many and more
It seems surprising that when applying widely used random number generat...
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03/18/2020
Random number generators produce ties: Why and how many
It seems surprising that when generating one million random numbers on m...
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02/25/2020
Multivariate time-series modeling with generative neural networks
Generative moment matching networks (GMMNs) are introduced as dependence...
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11/08/2019
Normal variance mixtures: Distribution, density and parameter estimation
Efficient computation of the distribution and log-density function of mu...
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11/01/2018
Quasi-random number generators for multivariate distributions based on generative neural networks
Generative moment matching networks are introduced as quasi-random numbe...
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10/16/2018
Compatibility and attainability of matrices of correlation-based measures of concordance
Necessary and sufficient conditions are derived under which concordance ...
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01/11/2018