Searcharxiv⌕ Search
Home/Archive/arXiv

arXiv · 1808.07737

Asymmetric linkages: maxmin vs. reflected maxmin copulas

Damjana Kokol Bukovšek·Tomaž Košir·Blaž Mojškerc·Matjaž Omladič
View original source ↗Read source document ↗Export metadata ↓

Abstract

In this paper we introduce some new copulas emerging from shock models. It was shown earlier that reflected maxmin copulas (RMM for short) are not just some specific singular copulas; they contain many important absolutely continuous copulas including the negative quadrant dependent part of the Eyraud-Farlie-Gumbel-Morgenstern class. The main goal of this paper is to develop the RMM copulas with dependent endogenous shocks and give evidence that RMM copulas may exhibit some characteristics better than the original maxmin copulas (MM for short): (1) An important evidence for that is the iteration procedure of the RMM transformation which we prove to be always convergent and we give many properties of it that are useful in applications. (2) Using this result we find also the limit of the iteration procedure of the MM transformation thus answering a question proposed earlier by Durante, Omladi\v{c}, Ora\v{z}em, and Ru\v{z}i\'{c}. (3) We give the multivariate dependent RMM copula that compares to the MM version given by Durante, Omladi\v{c}, Ora\v{z}em, and Ru\v{z}i\'{c}. In all our copulas the idiosyncratic and systemic shocks are combined via asymmetric linking functions as opposed to Marshall copulas where symmetric linking functions are used.

Explore related subjects

math.STmath.PRq-fin.RMstat.TH

Keep this discovery

BibTeXRIS

Damjana Kokol Bukovšek, Tomaž Košir, Blaž Mojškerc, Matjaž Omladič. 2018-08-23. Asymmetric linkages: maxmin vs. reflected maxmin copulas. https://doi.org/10.1016/j.fss.2019.07.004

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

A Scale Invariance Property of PCA

The PCA algorithm is sensitive to changes in measurement scale. Measuring one variable of a system in inches rather than centimeters, say, alters both its principal axes and principal eigenvalues. Although this scale dependence is generally complicated, we show here that it nevertheless obeys a strict invariance property: under a continuous scale adjustment, the initial state's $k$-th largest principal component (ordered by eigenvalue) continuously evolves into the final state's $k$-th largest principal component, for each $k$. In this sense, we can say that the modes of PCA are "order-stable" with respect to changes in measurement scale. A special case occurs when scaling along directions that are orthogonal to some modes. Here, apparent eigenvalue crossings can occur. However, we show that we can interpret these apparent crossings as cases where the modes instantaneously swap their orientation, in this way maintaining the required order stability.

math.ST↗
arXiv2026

Small noise asymptotics for linear parabolic SPDEs in two space dimensions with unknown damping factors

We study parametric estimation for second order linear parabolic stochastic partial differential equations in two space dimensions with a small volatility parameter driven by a $Q$-Wiener process with an unknown damping parameter using high frequency spatio-temporal data. We first provide an estimator for the damping parameter of the $Q$-Wiener process utilizing realized quadratic variations based on spatial and temporal increments. We next propose minimum contrast estimators of the diffusive and advective parameters in the SPDE using a contrast function with the proposed estimator of the damping parameter. We then construct a quasi-maximum likelihood estimator of the reaction parameter in the SPDE using the approximate coordinate process derived from the estimators of the diffusive and advective parameters. We also provide simulation results of the proposed estimators.

math.ST↗
arXiv2026

Spike Estimation from Heteroscedastic Noise via Random Splitting

In this paper, we consider a spiked Wigner type matrix with a heteroscedastic and unknown variance profile. It is well known that in the supercritical regime of the BBP transition, strong spikes can create outliers in the spectrum. Unfortunately, in the heteroscedastic case, in general it is not possible to estimate the spike strength from these observed outlier consistently, as the latter is a solution to a Dyson equation with unknown parameters from the variance profile. In this paper, inspired by the work on sparse matrix completion \citep{BordenaveCosteNadakuditi2023}, we introduce an asymmetrized model by randomly splitting the spiked matrix into two parts, which transforms the noisy Wigner type matrix into a non Hermitian random matrix, while preserving the Hermitian spikes at the cost of a dilution. We establish a BBP type transition for the asymmetrized model, from which we can estimate the strength of the spikes precisely, even without knowing the variance profile of the noise part. We then further apply our approach to study the correlation between two correlated spiked models, where the spike/signal parts of the two models are correlated, and the noise parts are independent but may both be heteroscedastic. By applying our asymmetrization approach to the two models separately and also jointly, we are able to obtain a precise estimate of the correlation between the signal parts of the two models.

math.ST↗