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- research-articleSeptember 2024JUST ACCEPTED
Learning the Graph Structure of Regular Vine-Copulas from Dependence Lists
ACM Transactions on Evolutionary Learning and Optimization (TELO), Just Accepted https://doi.org/10.1145/3695467Regular vine copulas (R-vines) provide a comprehensive framework for modeling high-dimensional dependencies using a hierarchy of trees and conditional pair-copulas. While the graphical structure of R-vines is traditionally derived from data, this work ...
- research-articleSeptember 2023
Remarks on a copula‐based conditional value at risk for the portfolio problem
International Journal of Intelligent Systems in Accounting and Finance Management (ISAF), Volume 30, Issue 3Pages 150–170https://doi.org/10.1002/isaf.1540SummaryWe deal with a multivariate conditional value at risk. Compared with the usual notion for the single random variable, a multivariate value at risk is concerned with several variables, and thus, the relation between each risk factor should be ...
- ArticleJanuary 2024
A Multi-dimensional Joint ICA Model with Gaussian Copula
Image Analysis and Processing - ICIAP 2023 WorkshopsPages 152–163https://doi.org/10.1007/978-3-031-51026-7_14AbstractDifferent imaging modalities can provide complementary information and fusing those can leverage their unique views into the brain. Independent component analysis (ICA) and its multimodal version, joint ICA (jICA), have been useful for brain ...
- research-articleSeptember 2023
Semiparametric detection of changepoints in location, scale, and copula
Statistical Analysis and Data Mining (STADM), Volume 16, Issue 5Pages 456–473https://doi.org/10.1002/sam.11622AbstractThis paper proposes a new method to detect changepoints in the location and scale of univariate data sequences. The proposed method assumes that the data belong to the location‐scale family of distributions and estimate the associated densities ...
- research-articleMarch 2023
Identification of Causal Mechanisms from Randomized Experiments: A Framework for Endogenous Mediation Analysis
Information Systems Research (INFORMS-ISR), Volume 34, Issue 1Pages 67–84https://doi.org/10.1287/isre.2022.1113Practice- and Policy-Oriented Abstract
Experimental research often focuses on the overall treatment effect and the heterogeneity therein. Whereas this type of research allows us to understand the strength and direction of the treatment effect under ...
Experimental research in the business disciplines often focuses on the overall treatment effect and the heterogeneity therein. Whereas this type of research allows us to understand the strength and direction of the treatment effect under different ...
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- research-articleJune 2022
Approximate continuous optimal transport with copulas
International Journal of Intelligent Systems (IJIS), Volume 37, Issue 8Pages 5354–5380https://doi.org/10.1002/int.22795AbstractOptimal Transport (OT) has become a powerful tool to compare probability distributions. However, it suffers from a severe computational burden for high dimensional and continuous distributions. To this end, we develop two novel methods for the ...
- review-articleMay 2022
Copulae: An overview and recent developments
AbstractOver the decades that have passed since they were introduced, copulae still remain a very powerful tool for modeling and estimating multivariate distributions. This work gives an overview of copula theory and it also summarizes the latest results. ...
Different distributions through different copulae and margins image image
- research-articleJanuary 2022
Randentropy: A Software to Measure Inequality in Random Systems
The software Randentropy is designed to estimate inequality in a random system where several individuals interact moving among many communities and producing dependent random quantities of an attribute. The overall inequality is assessed by computing the ...
- research-articleJanuary 2022
Copula-based risk measures in non-life insurance portfolio
Procedia Computer Science (PROCS), Volume 207, Issue CPages 2610–2617https://doi.org/10.1016/j.procs.2022.09.319AbstractIn the last few decades, insurance companies have adopted the application of data mining and statistical methods in daily practice providing the numerous advantages: shorter data processing times, more sophisticated methods for more accurate data ...
- research-articleJanuary 2020
Bivariate Distributions of Maximum Remaining Service Times in Fork-Join Infinite-Server Queues
Problems of Information Transmission (PRIT), Volume 56, Issue 1Pages 73–90https://doi.org/10.1134/S003294602001007XAbstractWe study the maximum remaining service time in M(2)∣G2∣∞ fork -join queueing systems where an incoming task forks on arrival for service into two subtasks, each of them being served in one of two infinite-sever subsystems. The following cases for ...
- opinionOctober 2019
On Robust Estimates of Correlated Risk in Cyber-Insured IT Firms: A First Look at Optimal AI-Based Estimates under “Small” Data
ACM Transactions on Management Information Systems (TMIS), Volume 10, Issue 3Article No.: 9, Pages 1–18https://doi.org/10.1145/3351158In this article, we comment on the drawbacks of the existing AI-based Bayesian network (BN) cyber-vulnerability analysis (C-VA) model proposed in Mukhopadhyay et al. (2013) to assess cyber-risk in IT firms, where this quantity is usually a joint ...
- research-articleAugust 2019
Computing the semantic similarity between documents by the copula-based econometric models
AIPR '19: Proceedings of the 2nd International Conference on Artificial Intelligence and Pattern RecognitionPages 134–139https://doi.org/10.1145/3357254.3357277Semantic similarity is important information with which decision-makers can cluster, classify, or compare documents in text mining. Statistical and topological methods are two major ways to determine semantic similarity. However, conventional methods ...
- research-articleJuly 2019
Optimizing permutation-based problems with a discrete vine-copula as a model for EDA
GECCO '19: Proceedings of the Genetic and Evolutionary Computation Conference CompanionPages 143–144https://doi.org/10.1145/3319619.3321961In this paper, we introduce a copula-based EDA that uses a Discrete Vine-Copula (DVC) model. This model is particularly suited to represent distributions in the permutation representation. To demonstrate the effectiveness of the proposed Discrete-Vine-...
- research-articleJuly 2019
Efficient frontiers in portfolio optimisation with minimum proportion constraints
GECCO '19: Proceedings of the Genetic and Evolutionary Computation Conference CompanionPages 358–359https://doi.org/10.1145/3319619.3321900This work chronicles research into the solution of portfolio problems with metaheuristic solvers. In particular, a genetic algorithm for solving the cardinality constrained portfolio optimisation problem with minimum asset proportions is presented and ...
- ArticleJuly 2018
The Step Construction of Copula Gaussian Multivariate and AR(1)-N.GARCH(1,1) Models
ICASI'18: Proceedings of the Joint Workshop KO2PI and the 1st International Conference on Advance & Scientific InnovationPages 1–9https://doi.org/10.4108/eai.23-4-2018.2277604Copulas are a powerful tool in multivariate statistics. If copula functions used for modeling dependence between random variables, there is an immediate and obvious need to test whether the model can describe the data at hand accurately enough or not. ...
- research-articleJune 2018
Stochastic Simulation of Test Collections: Evaluation Scores
SIGIR '18: The 41st International ACM SIGIR Conference on Research & Development in Information RetrievalPages 695–704https://doi.org/10.1145/3209978.3210043Part of Information Retrieval evaluation research is limited by the fact that we do not know the distributions of system effectiveness over the populations of topics and, by extension, their true mean scores. The workaround usually consists in ...
- research-articleAugust 2017
A Model Measuring Integrated Performance of Supply Chain and Empirical Analysis
ICICM '17: Proceedings of the 7th International Conference on Information Communication and ManagementPages 153–157https://doi.org/10.1145/3134383.3134392This article aims to measure the integrated performance of the supply chain in a new perspective. A new model called PEM-Mcopula has been built, which can effectively measure the integrated performance and provide quantitative proofs for supply chain ...
- research-articleMarch 2017
A copula based approach for measurement validity verification in wireless sensor networks
- Sanaa Kawther Ghalem,
- Bouabdellah Kechar,
- Ahcène Bounceur,
- Reinhardt Euler,
- Mohammad Hammoudeh,
- Farid Lalem
ICC '17: Proceedings of the Second International Conference on Internet of things, Data and Cloud ComputingArticle No.: 199, Pages 1–6https://doi.org/10.1145/3018896.3065829Outlier detection is the process of identifying the data objects that do not comply with the normal behavior of the defined data model. Used in automated data analysis, it ensures the desired data quality and reliability. This field has attracted ...
- research-articleFebruary 2017
Modeling Document Networks with Tree-Averaged Copula Regularization
WSDM '17: Proceedings of the Tenth ACM International Conference on Web Search and Data MiningPages 691–699https://doi.org/10.1145/3018661.3018666Document network is a kind of intriguing dataset which provides both topical (texts) and topological (links) information. Most previous work assumes that documents closely linked with each other share common topics. However, the associations among ...
- articleJanuary 2017
A robust-equitable measure for feature ranking and selection
In many applications, not all the features used to represent data samples are important. Often only a few features are relevant for the prediction task. The choice of dependence measures often affect the final result of many feature selection methods. ...