SearcharxivSearch

arXiv subjects

Angelos Dassios

Publications and source records attributed to Angelos Dassios.

6 recordsLinked to original sources

Bergsma--Dassios sign covariance with ties: a nonnegative decomposition and sharp bounds

We construct tie-symmetrised extensions $\widetilde D$ and $\widetilde R$ of the unnormalised Hoeffding and Blum--Kiefer--Rosenblatt functionals $D$ and $R$ and prove, for every real-valued bivariate law, the exact nonnegative decomposition $ \tau^{*}(X,Y)=12\widetilde D(X,Y)+24\widetilde R(X,Y), \qquad \widetilde D,\widetilde R\geq0, \qquad \widetilde R(X,Y)=0\quad\Longleftrightarrow\quad X\perp\!\!\!\perp Y. $ For atomless margins the components reduce to $D$ and $R$, whereas in the presence of ties the corresponding classical identity $\tau^{*}=12D+24R$ can fail. The components arise from the Hoeffding projections of a symmetrised pair kernel. For the four strict/non-strict boundary versions $D_{\epsilon,\eta}$ and $R_{\epsilon,\eta}$, we establish the sharp comparisons $ 9\widetilde D\geq\sum_{\epsilon,\eta}D_{\epsilon,\eta}, \qquad 9\widetilde R\geq\sum_{\epsilon,\eta}R_{\epsilon,\eta}. $ Consequently, $\tau^{*}\geq0$ for every bivariate law, and the Bergsma--Dassios conjecture is settled: $\tau^{*}=0$ if and only if $X\perp\!\!\!\perp Y$. The boundary comparisons also yield the universal bound $\tau^{*}\geq(8/3)R$. Finite-table arguments, including an exact sum-of-squares certificate, establish the boundary inequalities, and weak-order quantisation transfers them to arbitrary laws. The factor $9$ in each comparison and the coefficient $24$ in $\tau^{*}\geq24\widetilde R$ are sharp. The usual permutation test is consistent against every fixed dependent alternative, without assumptions on the margins.

math.ST

A Two-Phase Dynamic Contagion Model for COVID-19

In this paper, we propose a continuous-time stochastic intensity model, namely, two-phase dynamic contagion process(2P-DCP), for modelling the epidemic contagion of COVID-19 and investigating the lockdown effect based on the dynamic contagion model introduced by Dassios and Zhao (2011). It allows randomness to the infectivity of individuals rather than a constant reproduction number as assumed by standard models. Key epidemiological quantities, such as the distribution of final epidemic size and expected epidemic duration, are derived and estimated based on real data for various regions and countries. The associated time lag of the effect of intervention in each country or region is estimated. Our results are consistent with the incubation time of COVID-19 found by recent medical study. We demonstrate that our model could potentially be a valuable tool in the modeling of COVID-19. More importantly, the proposed model of 2P-DCP could also be used as an important tool in epidemiological modelling as this type of contagion models with very simple structures is adequate to describe the evolution of regional epidemic and worldwide pandemic.

physics.soc-ph

Explicit Asymptotics on First Passage Times of Diffusion Processes

We introduce a unified framework for solving first passage times of time-homogeneous diffusion processes. According to the killed version potential theory and the perturbation theory, we are able to deduce closed-form solutions for probability densities of single-sided level crossing problem. The framework is applicable to diffusion processes with continuous drift functions, and a recursive system in the frequency domain has been provided. Besides, we derive a probabilistic representation for error estimation. The representation can be used to evaluate deviations in perturbed density functions. In the present paper, we apply the framework to Ornstein-Uhlenbeck and Bessel processes to find closed-form approximations for their first passage times; another successful application is given by the exponential-Shiryaev process. Numerical results are provided at the end of this paper.

math.PR

An Economic Bubble Model and Its First Passage Time

We introduce a new diffusion process Xt to describe asset prices within an economic bubble cycle. The main feature of the process, which differs from existing models, is the drift term where a mean-reversion is taken based on an exponential decay of the scaled price. Our study shows the scaling factor on Xt is crucial for modelling economic bubbles as it mitigates the dependence structure between the price and parameters in the model. We prove both the process and its first passage time are well-defined. An efficient calibration scheme, together with the probability density function for the process are given. Moreover, by employing the perturbation technique, we deduce the closed-form density for the downward first passage time, which therefore can be used in estimating the burst time of an economic bubble. The object of this study is to understand the asset price dynamics when a financial bubble is believed to form, and correspondingly provide estimates to the bubble crash time. Calibration examples on the US dot-com bubble and the 2007 Chinese stock market crash verify the effectiveness of the model itself. The example on BitCoin prediction confirms that we can provide meaningful estimate on the downward probability for asset prices.

q-fin.MF

Stationarity of Bivariate Dynamic Contagion Processes

The Bivariate Dynamic Contagion Processes (BDCP) are a broad class of bivariate point processes characterized by the intensities as a general class of piecewise deterministic Markov processes. The BDCP describes a rich dynamic structure where the system is under the influence of both external and internal factors modelled by a shot-noise Cox process and a generalized Hawkes process respectively. In this paper we mainly address the stationarity issue for the BDCP, which is important in applications. We investigate the stationary distribution by applying the the Markov theory on the branching system approximation representation of the BDCP. We find the condition under which there exists a unique stationary distribution of the BDCP intensity and the resulting BDCP has stationary increments. Moments of the stationary intensity are provided by using the Markov property.

q-fin.MF

A consistent test of independence based on a sign covariance related to Kendall's tau

The most popular ways to test for independence of two ordinal random variables are by means of Kendall's tau and Spearman's rho. However, such tests are not consistent, only having power for alternatives with ``monotonic'' association. In this paper, we introduce a natural extension of Kendall's tau, called $τ^*$, which is non-negative and zero if and only if independence holds, thus leading to a consistent independence test. Furthermore, normalization gives a rank correlation which can be used as a measure of dependence, taking values between zero and one. A comparison with alternative measures of dependence for ordinal random variables is given, and it is shown that, in a well-defined sense, $τ^*$ is the simplest, similarly to Kendall's tau being the simplest of ordinal measures of monotone association. Simulation studies show our test compares well with the alternatives in terms of average $p$-values.

math.ST