Modeling multivariate distributions with continuous margins using the copula R package
The copula-based modeling of multivariate distributions with continuous margins is
presented as a succession of rank-based tests: a multivariate test of randomness followed …
presented as a succession of rank-based tests: a multivariate test of randomness followed …
Test of independence and randomness based on the empirical copula process
Deheuvels (1981a) described a decomposition of the empirical copula process into a finite
number of asymptotically mutually independent sub-processes whose joint limiting …
number of asymptotically mutually independent sub-processes whose joint limiting …
Performance metrics for liquid chromatography-tandem mass spectrometry systems in proteomics analyses
A major unmet need in LC-MS/MS-based proteomics analyses is a set of tools for
quantitative assessment of system performance and evaluation of technical variability. Here …
quantitative assessment of system performance and evaluation of technical variability. Here …
General tests of conditional independence based on empirical processes indexed by functions
S Bouzebda - Japanese Journal of Statistics and Data Science, 2023 - Springer
This paper focuses on nonparametric procedures for testing conditional independence
between random vectors using Möbius transformation. We derive a method predicated on …
between random vectors using Möbius transformation. We derive a method predicated on …
Bayesian detection of abnormal values in longitudinal biomarkers with an application to T/E ratio
PE Sottas, N Baume, C Saudan, C Schweizer… - …, 2007 - academic.oup.com
We developed a test that compares sequential measurements of a biomarker against
previous readings performed on the same individual. A probability mass function expresses …
previous readings performed on the same individual. A probability mass function expresses …
Goodness-of-fit tests for copulas of multivariate time series
B Rémillard - Econometrics, 2017 - mdpi.com
In this paper, we study the asymptotic behavior of the sequential empirical process and the
sequential empirical copula process, both constructed from residuals of multivariate …
sequential empirical copula process, both constructed from residuals of multivariate …
Wavelet coherence analysis of returns, volatility and interdependence of the US and the EU money markets: Pre & post crisis
This research analyse the US and the EU money markets interdependence from 2004 to
2018. The study explains to what extent the volatility of the chosen money markets …
2018. The study explains to what extent the volatility of the chosen money markets …
Asymptotic local efficiency of Cramér–von Mises tests for multivariate independence
Abstract Deheuvels [J. Multivariate Anal. 11 (1981) 102–113] and Genest and Rémillard
[Test 13 (2004) 335–369] have shown that powerful rank tests of multivariate independence …
[Test 13 (2004) 335–369] have shown that powerful rank tests of multivariate independence …
Robust optimization with ambiguous stochastic constraints under mean and dispersion information
In this paper we consider ambiguous stochastic constraints under partial information
consisting of means and dispersion measures of the underlying random parameters …
consisting of means and dispersion measures of the underlying random parameters …
Dynamic quantile models
C Gouriéroux, J Jasiak - Journal of econometrics, 2008 - Elsevier
This paper introduces the Dynamic Additive Quantile (DAQ) model that ensures the
monotonicity of conditional quantile estimates. The DAQ model is easily estimable and can …
monotonicity of conditional quantile estimates. The DAQ model is easily estimable and can …