Coodness of fit test Statistics based on Riedwyl-type derivations
Copula and semicopula transforms.
Copula approach to residuals of regime-switching models
The autocorrelation function describing the linear dependence is not suitable for description of residual dependence of the regime-switching models. In this contribution, inspired by Rakonczai ([20]), we will model the residual dependence of the regime-switching models (SETAR, LSTAR and ESTAR) with the autocopulas (Archimedean, EV and their convex combinations) and construct improved quality models for the original real time series.
Copula-based dependence measures
The aim of the present paper is to examine two wide classes of dependence coefficients including several well-known coefficients, for example Spearman’s ρ, Spearman’s footrule, and the Gini coefficient. There is a close relationship between the two classes: The second class is obtained by a symmetrisation of the coefficients in the former class. The coefficients of the first class describe the deviation from monotonically increasing dependence. The construction of the coefficients can be explained...
Copula-based grouped risk aggregation under mixed operation
This paper deals with the problem of risk measurement under mixed operation. For this purpose, we divide the basic risks into several groups based on the actual situation. First, we calculate the bounds for the subsum of every group of basic risks, then we obtain the bounds for the total sum of all the basic risks. For the dependency relationships between the basic risks in every group and all of the subsums, we give different copulas to describe them. The bounds for the aggregated risk under mixed...
Copula–Induced Measures of Concordance
We study measures of concordance for multivariate copulas and copulas that induce measures of concordance. To this end, for a copula A, we consider the maps C → R given by [...] where C denotes the collection of all d–dimensional copulas, M is the Fréchet–Hoeffding upper bound, Π is the product copula, [. , .] : C × C → R is the biconvex form given by [C, D] := ∫ [0,1]d C(u) dQD(u) with the probability measure QD associated with the copula D, and ψΛ C → C is a transformation of copulas. We present...
Copulas with given values on a horizontal and a vertical section
In this paper we study the set of copulas for which both a horizontal section and a vertical section have been given. We give a general construction for copulas of this type and we provide the lower and upper copulas with these sections. Symmetric copulas with given horizontal section are also discussed, as well as copulas defined on a grid of the unit square. Several examples are presented.
Core functions and core divergences of regular distributions
On bounded or unbounded intervals of the real line, we introduce classes of regular statistical families, called Johnson families because they are obtained using generalized Johnson transforms. We study in a rigorous manner the formerly introduced concept of core function of a distribution from a Johnson family, which is a modification of the well known score function and which in a one-to-one manner represents the distribution. Further, we study Johnson parametrized families obtained by Johnson...
Correction to 'Estimating median and other quantiles in nonparametric models' (Applicationes Math. 23 (3) (1995), 363–370)
Correction to the paper “On the two-sided quality control”
The correction sonsists of deriving correct explicit formulas for MLE of parameters of the normal distribution under the hypothesis .
Corrections : «Estimation des densités : risque minimax»
Corrections of estimators in linearized models
Correlation analysis: Exact permutation paradigm
Corrélation entre deux variables ordinales dont l'une est dichotomisée
Corrélation entre variables nominales, ordinales, métriques ou numériques
Un coefficient de corrélation est défini pour la distribution empirique conjointe de deux variables statistiques, que la structure a priori de chacune d'elles soit nominale, ordinale, métrique ou numérique. L'obtention d'un formalisme commun à toutes ces structures permet d'affiner l'analyse de la liaison entre les variables, en termes d'homogénéité (variables ordonnées), d'ordres sous-jacents (variables non-ordonnées) ou d'ordre induit (cas mixte).
Correlation-based feature selection strategy in classification problems
In classification problems, the issue of high dimensionality, of data is often considered important. To lower data dimensionality, feature selection methods are often employed. To select a set of features that will span a representation space that is as good as possible for the classification task, one must take into consideration possible interdependencies between the features. As a trade-off between the complexity of the selection process and the quality of the selected feature set, a pairwise...
Correlations and bounds for stochastic volatility models
Correlations in output and overflow traffic processes in simple queues.
Correspondance entre deux ensembles et partition de ces deux ensembles
Correspondence analysis and two-way clustering.
Correspondence analysis followed by clustering of both rows and columns of a data matrix is proposed as an approach to two-way clustering. The novelty of this contribution consists of: i) proposing a simple method for the selecting of the number of axes; ii) visualizing the data matrix as is done in micro-array analysis; iii) enhancing this representation by emphasizing those variables and those individuals which are 'well represented' in the subspace of the chosen axes. The approach is applied...