A neighborliness property of marginal polytopes of hierarchical models, depending on the cardinality of the smallest non-face of the underlying simplicial complex, is shown. The case of binary variables is studied explicitly, then the general case is reduced to the binary case. A Markov basis for binary hierarchical models whose simplicial complexes is the complement of an interval is given.

A copula models the relationships between variables independently of their marginal distributions. When the variables are time series, the copula may change over time. A statistical framework is suggested for tracking these changes over time. When the marginal distributions change, pre-…ltering is necessary before constructing the indicator variables on which the tracking of the copula is based...

The aim of this paper is to study the cross-sectional effects present in the market using a new framework based on graph theory. Within this framework, we represent the evolution of a dynamic portfolio, i.e. a portfolio whose weights vary over time, as a rank-based factorial model where the predictive ability of each cross-sectional factor is described by a variable. Practically, this modeling ...

In capture{recapture modelling, it is necessary to account for possible dependence betwee sources. Along with nominal information, epidemiological capture{recapture studies often involve the collection of a variety of individual covariates. Under the assumption that we can estimate the covariate distribution in the population of interest and that sources are conditionally independent given the ...

Abstract: • We survey the current practice of analyzing spatial extreme data, which lies at the intersection of extreme value theory and geostatistics. Characterizations of multivariate max-stable distributions typically assume specific univariate marginal distributions, and their statistical applications generally require capturing the tail behavior of the margins and describing the tail depen...

With the development of deregulated power systems and increase of prices in some hours of day and increase fuel price, demand response programs were noticed more by customers. demand response consists of a series of activities that governments or utilities design to change the amount or time of electric energy consumption, to achieve better social welfare or some times for maximizing the benefi...

Mutual information (MI) quantifies the statistical dependency between a pair of random variables, and plays a central role in the analysis of engineering and biological systems. Estimation of MI is difficult due to its dependence on an entire joint distribution, which is difficult to estimate from samples. Here we discuss several regularized estimators for MI that employ priors based on the Dir...

Choice modelling (CM) is a stated preference technique that is increasingly being used to generate estimates of non-market values. In CM applications, respondents to a survey are presented with several sets of options, which contain common attributes but at varying levels, and are asked to select their preferred alternative from each set. The information provided by respondents’ choices is used...

This paper develops a simple but general methodology to estimate the expected intertemporal marginal rate of substitution or “EMRS”, using only data on asset prices and returns. Our empirical strategy is general, and allows the EMRS to vary arbitrarily over time. A novel feature of our technique is that it relies upon exploiting idiosyncratic risk, since theory dictates that idiosyncratic shock...

empirical studies show that there is stronger dependency between large losses than large profit in financial market, which undermine the performance of using symmetric distribution for modeling these asymmetric. that is why the assuming normal joint distribution of returns is not suitable because of considering the linier dependence, and can be lead to inappropriate estimate of var. copula theo...