Invariant dependence structure under univariate truncation: the high-dimensional case

被引：8
|
作者：
Jaworski, Piotr [1 ]
机构：
[1] Univ Warsaw, Inst Math, PL-02097 Warsaw, Poland
来源：
STATISTICS | 2013年 / 47卷 / 05期
关键词：
copula; threshold copula; univariate conditioning; truncation of the first variable; invariant copula; 62E10; 60E05; 60G70; 62P05;
D O I：
10.1080/02331888.2012.664143
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
In this paper, the class of all multivariate copulas that are invariant under univariate truncation is characterized.
引用
收藏
页码：1064 / 1074
页数：11
相关论文
共 50 条
  • [11] Estimating high-dimensional covariance and precision matrices under general missing dependence
    Park, Seongoh
    Wang, Xinlei
    Lim, Johan
    ELECTRONIC JOURNAL OF STATISTICS, 2021, 15 (02): : 4868 - 4915
  • [12] Modeling high-dimensional dependence in astronomical data
    Vio, R.
    Nagler, T. W.
    Andreani, P.
    ASTRONOMY & ASTROPHYSICS, 2020, 642
  • [13] CHANGE-POINT INFERENCE IN HIGH-DIMENSIONAL REGRESSION MODELS UNDER TEMPORAL DEPENDENCE
    Xu, Haotian
    Wang, Daren
    Zhao, Zifeng
    Yu, Yi
    ANNALS OF STATISTICS, 2024, 52 (03): : 999 - 1026
  • [14] Robust two-sample test of high-dimensional mean vectors under dependence
    Wang, Wei
    Lin, Nan
    Tang, Xiang
    JOURNAL OF MULTIVARIATE ANALYSIS, 2019, 169 : 312 - 329
  • [15] Inference on heterogeneous treatment effects in high-dimensional dynamic panels under weak dependence
    Semenova, Vira
    Goldman, Matt
    Chernozhukov, Victor
    Taddy, Matt
    QUANTITATIVE ECONOMICS, 2023, 14 (02) : 471 - 510
  • [16] The sparse structure of high-dimensional integrands
    Verlinden, P
    JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS, 2001, 132 (01) : 33 - 49
  • [17] Dependence maps, a dimensionality reduction with dependence distance for high-dimensional data
    Lee, Kichun
    Gray, Alexander
    Kim, Heeyoung
    DATA MINING AND KNOWLEDGE DISCOVERY, 2013, 26 (03) : 512 - 532
  • [18] Computing high-dimensional invariant distributions from noisy data
    Lin, Bo
    Li, Qianxiao
    Ren, Weiqing
    JOURNAL OF COMPUTATIONAL PHYSICS, 2023, 474
  • [19] Implicit Invariant Sets for High-Dimensional Switched Affine Systems
    Wintenberg, Andrew
    Ozay, Necmiye
    2020 59TH IEEE CONFERENCE ON DECISION AND CONTROL (CDC), 2020, : 3291 - 3297
  • [20] Conformal invariant expansion and high-dimensional Painleve integrable models
    Ruan, HY
    Lou, SY
    Chen, YX
    JOURNAL OF PHYSICS A-MATHEMATICAL AND GENERAL, 1999, 32 (14): : 2719 - 2729
12345