In this paper, we investigate the asymmetry in the tail dependence between US equity portfolios and the aggregate US market. Given the limited number of observations in the tails of a joint distribution, standard non-parametric measures of tail dependence often have poor finite-sample properties. We therefore develop a parametric model for measuring and testing asymmetry in tail dependence, usi...

The sandwich estimator, often known as the robust covariance matrix estimator or the empirical covariance matrix estimator, has achieved increasing use with the growing popularity of generalized estimating equations. Its virtue is that it provides consistent estimates of the covariance matrix for parameter estimates even when a parametric model fails to hold, or is not even specified. Surprisin...

In this paper a novel decomposition of spatial channels is developed to provide insight into spatial aspects of multiple antenna communication systems. The underlying physics of the free space propagation is used to model the channel in scatterer free regions around the transmitter and the receiver, and the rest of the complex scattering media is represented by a parametric model. The channel m...

Economic theory suggests that an extension of the maximum length of entitlement for unemployment benefits increases the duration of unemployment. Empirical results for the reform of the unemployment compensation system in Germany during the 1980s are less clear. The analysis in this paper is motivated by the controversial empirical findings and by recent developments in econometrics for partial...

Boundary prediction in images as well as video has been a very active topic of research and organizing visual information into boundaries and segments is believed to be a corner stone of visual perception. While prior work has focused on predicting boundaries for observed frames, our work aims at predicting boundaries of future unobserved frames. This requires our model to learn about the fate ...

The underlying idea of Reich, Fuentes, and Dunson (2009) to use the asymptotic normal approximation of the quantile regression estimator as a “substitute” likelihood can be regarded as a convenient dumbing-down of the Jeffrey’s idea elaborated by Lavine (1995) and Dunson and Taylor (2005). The obvious disadvantage of the original Jeffrey’s suggestion is that it is difficult to compute/update th...

In this paper we present a parametric model for facial animation and a method for adapting it to a specific person. Every facial expression can be described as a contraction or relaxation of the facial muscles. P. Ekman and F.W. Friesen selected 44 Action Units corresponding to visual changes on the face, which cannot be decomposed into smaller ones and which combinations universally represent ...

using a new numerical model, the pump-to-signal relative intensity noise (rin) transfer in singlepumpfiber optical parametric amplifiers for low modulation frequencies is investigated. the model includesfiber loss, pump depletion, as well as the gain saturation, and therefore, it can describe the practicalcircumstances associated with various applications of fiber optical parametric amplifiers....