Concept

Copula (probability theory)

Related publications (40)

Price discrimination with robust beliefs

This paper considers the problem of second-degree price discrimination when the type distribution is unknown or imperfectly specified by means of an ambiguity set. As robustness measure we use a performance index, equivalent to relative regret, which quant ...

2023

Conditional Synthetic Financial Time Series with Generative Adversarial Networks

The creation of high fidelity synthetic data has long been an important goal in machine learning, particularly in fields like finance where the lack of available training and test data make it impossible to utilize many of the deep learning techniques whic ...

2022

Max-infinitely divisible models and inference for spatial extremes

Emeric Rolland Georges Thibaud, Raphaël Huser

For many environmental processes, recent studies have shown that the dependence strength is decreasing when quantile levels increase. This implies that the popular max-stable models are inadequate to capture the rate of joint tail decay, and to estimate jo ...

WILEY2020

Inference on the Angular Distribution of Extremes

Claudio Andri Semadeni

The spectral distribution plays a key role in the statistical modelling of multivariate extremes, as it defines the dependence structure of multivariate extreme-value distributions and characterizes the limiting distribution of the relative sizes of the co ...

EPFL2020

On the probability distribution of the local times of diagonally operator-self-similar Gaussian fields with stationary increments

Thomas Mountford, Kamran Kalbasi

In this paper, we study the local times of vector-valued Gaussian fields that are 'diagonally operator-selfsimilar' and whose increments are stationary. Denoting the local time of such a Gaussian field around the spatial origin and over the temporal unit h ...

INT STATISTICAL INST2020

Simultaneous autoregressive models for spatial extremes

Emeric Rolland Georges Thibaud

Motivated by the widespread use of large gridded data sets in the atmospheric sciences, we propose a new model for extremes of areal data that is inspired by the simultaneous autoregressive (SAR) model in classical spatial statistics. Our extreme SAR model ...

WILEY2020

Extremal behaviour of aggregated data with an application to downscaling

Sebastian Engelke, Raphaël Gérard Théodore Michel Marie de Deloÿe et Fourcade de Fondeville

The distribution of spatially aggregated data from a stochastic process may exhibit tail behaviour different from that of its marginal distributions. For a large class of aggregating functionals we introduce the -extremal coefficient, which quantifies this ...

OXFORD UNIV PRESS2019

A Data-Driven Approach Based on Multivariate Copulas for Quantitative Risk Assessment of Concrete Dam

Zhenzhu Meng, Yating Hu, Chenfei Shao

Risk assessment of dam's running status is an important part of dam management. A data-driven method based on monitored displacement data has been applied in risk assessment, owing to its easy operation and real-time analysis. However, previous data-driven ...

MDPI2019

Semiparametric Bayesian Risk Estimation for Complex Extremes

Thomas Lugrin

Extreme events are responsible for huge material damage and are costly in terms of their human and economic impacts. They strike all facets of modern society, such as physical infrastructure and insurance companies through environmental hazards, banking an ...

EPFL2018

Generalizing Robot Imitation Learning with Invariant Hidden Semi-Markov Models

Sylvain Calinon, Ajay Kumar Tanwani, Swati Krishnan

Generalizing manipulation skills to new situations requires extracting invariant patterns from demonstrations. For example, the robot needs to understand the demonstrations at a higher level while being invariant to the appearance of the objects, geometric ...

2018

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