Publications associées à Copule (mathématiques)

Modelling across extremal dependence classes

Anthony Christopher Davison, Jonathan A. Tawn, Jennifer Lynne Wadsworth

Different dependence scenarios can arise in multivariate extremes, entailing careful selection of an appropriate class of models. In bivariate extremes, the variables are either asymptotically dependent or are asymptotically independent. Most available sta ...

Wiley-Blackwell2017

Caching of Bivariate Gaussians with Non-Uniform Preference Probabilities

Michael Christoph Gastpar, Guillaume Jean Op 't Veld

Caching is technique that alleviates networks during peak hours by transmitting partial information before a request for any is made. We study this method in a lossy source coding setting with Gaussian databases. A good caching strategy minimizes the data ...

2017

Robust Bounds In Multivariate Extremes

Sebastian Engelke

Extreme value theory provides an asymptotically justified framework for estimation of exceedance probabilities in regions where few or no observations are available. For multivariate tail estimation, the strength of extremal dependence is crucial and it is ...

Institute of Mathematical Statistics2017

Bridging asymptotic independence and dependence in spatial extremes using Gaussian scale mixtures

Emeric Rolland Georges Thibaud, Raphaël Huser

Gaussian scale mixtures are constructed as Gaussian processes with a random variance. They have non-Gaussian marginals and can exhibit asymptotic dependence unlike Gaussian processes, which are asymptotically independent except in the case of perfect depen ...

Elsevier Sci Ltd2017

Robust Growth-Optimal Portfolios

Daniel Kuhn, Napat Rujeerapaiboon, Wolfram Wiesemann

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...

Informs2016

Likelihood estimators for multivariate extremes

Anthony Christopher Davison, Raphaël Huser

The main approach to inference for multivariate extremes consists in approximating the joint upper tail of the observations by a parametric family arising in the limit for extreme events. The latter may be expressed in terms of componentwise maxima, high t ...

Springer2016

Bayesian Uncertainty Management in Temporal Dependence of Extremes

Anthony Christopher Davison, Thomas Lugrin, Jonathan A. Tawn

Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long- and short-range dependence of extremes may both appear. In applications, an assu ...

Springer Verlag2016

Bayesian uncertainty management in temporal dependence of extremes

Anthony Christopher Davison, Thomas Lugrin, Jonathan A. Tawn

Both marginal and dependence features must be described when modelling the extremes of a stationary time series. There are standard approaches to marginal modelling, but long-and short-range dependence of extremes may both appear. In applications, an assum ...

Springer Verlag2016

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Copule (mathématiques)

Modelling across extremal dependence classes

Caching of Bivariate Gaussians with Non-Uniform Preference Probabilities

Robust Bounds In Multivariate Extremes

Bridging asymptotic independence and dependence in spatial extremes using Gaussian scale mixtures

Robust Growth-Optimal Portfolios

Likelihood estimators for multivariate extremes

Bayesian Uncertainty Management in Temporal Dependence of Extremes

Bayesian uncertainty management in temporal dependence of extremes

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Sources and forms of modelling uncertainties for structural identification

Graph Chatbot

Chattez avec Graph Search

Caching of Bivariate Gaussians with Non-Uniform Preference Probabilities

Bridging asymptotic independence and dependence in spatial extremes using Gaussian scale mixtures

Modelling across extremal dependence classes

Robust Growth-Optimal Portfolios

Likelihood estimators for multivariate extremes

Bayesian Uncertainty Management in Temporal Dependence of Extremes

Dimensionality Reduction in Dynamic Optimization under Uncertainty

Sources and forms of modelling uncertainties for structural identification

Robust Bounds In Multivariate Extremes

Bayesian uncertainty management in temporal dependence of extremes