Efficient MCMC estimation of some elliptical copula regression models through scale mixtures of normals

This paper proposes an efficient estimation method for some elliptical copula regression models by expressing both copula density and marginal density functions as scale mixtures of normals (SMN). Implementing these models using the SMN is novel and allows efficient estimation via Bayesian methods. An innovative algorithm for the case of complex semicontinuous margins is also presented. We utilize the facts that copulas are invariant to the location and scale of the margins; all elliptical distributions have the same correlation structure; and some densities can be represented by the SMN. Two simulation studies, one on continuous margins and the other on semicontinuous margins, highlight the favorable performance of the proposed methods. Two empirical studies, one on the US excess returns and one on the Thai wage earnings, further illustrate the applicability of the proposals.     

Estimation of nonstrict Archimedean copulas and its application to quantum networks

Bivariate nonstrict Archimedean copulas form a subclass of Archimedean copulas and are able to model the dependence structure of random variables that do not take on low quantiles simultaneously; i.e. their domain includes a set, the so‐called zero set, with positive Lebesgue measure but zero probability mass. Standard methods to fit a parametric Archimedean copula, e.g. classical maximum likelihood estimation, are either getting computationally more involved or even fail when dealing with this subclass. We propose an alternative method for estimating the parameter of a nonstrict Archimedean copula that is based on the zero set and the functional form of its boundary curve. This estimator is fast to compute and can be applied to absolutely continuous copulas but also allows singular components. In a simulation study, we compare its performance to that of the standard estimators. Finally, the estimator is applied when modeling the dependence structure of quantities describing the quality of transmission in a quantum network, and it is shown how this model can be used effectively to detect potential intruders in this network. Copyright © 2014 John Wiley & Sons, Ltd.     

Asymmetric extreme interdependence in emerging equity markets

We assess the extent of integration between stock markets during stressful periods using the concept of copulas. Our methodology consists of fitting copulas to simultaneous exceedances of high thresholds, and computing copula‐based measures of interdependence and contagion. Using 21 pairs of emerging stock markets daily returns, we investigate if dependence increases with crisis, and analyse the chances of both markets crashing together. Dependence at joint positive and negative extreme returns levels may differ. This type of asymmetry is captured by the upper and lower tail dependence coefficients. Propagation of crisis may be faster in one direction, and this feature is captured by asymmetric copulas. Copyright © 2005 John Wiley & Sons, Ltd.     

On a compound Poisson risk model with dependence and in the presence of a constant dividend barrier

In this paper, we consider a classical risk process with dependence and in the presence of a constant dividend barrier. The dependence structure between the claim amounts and the interclaim times is introduced through a Farlie–Gumbel–Morgenstern copula. We analyze the expectation of the discounted penalty function and the expectation of the present value of the distributed dividends. For each function, an integro‐differential equation with boundary conditions is derived, and the solution is provided. Finally, we find an explicit solution for each function when the claim amounts are exponentially distributed. We illustrate the impact of the dependence on these two quantities. Copyright © 2012 John Wiley & Sons, Ltd.     

Modelling of extreme wave heights and periods through copulas

Optimal design of coastal or offshore structures requires the estimation of extreme quantiles of oceanographic data such as wave heights and wave periods. Since there are strong correlations between oceanographic variables, it is necessary to use multivariate models in order to capture its dependencies. To achieve this, an approach based on copulas is proposed and is compared to a model based on the physical behaviour of waves.     

Radical Complexity

This is an informal and sketchy review of five topical, somewhat unrelated subjects in quantitative finance and econophysics: (i) models of price changes; (ii) linear correlations and random matrix theory; (iii) non-linear dependence copulas; (iv) high-frequency trading and market stability; and finally—but perhaps most importantly—(v) “radical complexity” that prompts a scenario-based approach to macroeconomics heavily relying on Agent-Based Models. Some open questions and future research directions are outlined.     

A Comparison of Bounds on Three Sets of Copulas with Given Degree of Non-exchangeability

We establish best-possible supremum bounds of copulas with the degree of non-exchangeabilityt=3/4, t=3/5 and t=3/6=1/2, and study the structures of these sets of copulas. The volumes between the upper and lower bounds are calculated to illustrate that the supremum bounds are specific practical and effective in narrowing the Fr\'{e}chet-Hoeffding bounds.     

多元拟连接函数的刻画

CENEST等曾给出二元拟连接函数的两个等价刻画，同时提出一问题：引理可否推广到高维？本文回答了这一问题，证明了引理在高维时也是成立的；并指出其中一个刻画可以推广到多元，作为多元拟连接函数的刻画，而另一个刻画在高维时不成立；最后进一步得到多元线性拟连接函数概念，它是多元拟连接函数的推广．     

On the Zero-Outage Secrecy-Capacity of Dependent Fading Wiretap Channels

It is known that for a slow fading Gaussian wiretap channel without channel state information at the transmitter and with statistically independent fading channels, the outage probability of any given target secrecy rate is non-zero, in general. This implies that the so-called zero-outage secrecy capacity (ZOSC) is zero and we cannot transmit at any positive data rate reliably and confidentially. When the fading legitimate and eavesdropper channels are statistically dependent, this conclusion changes significantly. Our work shows that there exist dependency structures for which positive zero-outage secrecy rates (ZOSR) are achievable. In this paper, we are interested in the characterization of these dependency structures and we study the system parameters in terms of the number of observations at legitimate receiver and eavesdropper as well as average channel gains for which positive ZOSR are achieved. First, we consider the setting that there are two paths from the transmitter to the legitimate receiver and one path to the eavesdropper. We show that by introducing a proper dependence structure among the fading gains of the three paths, we can achieve a zero secrecy outage probability (SOP) for some positive secrecy rate. In this way, we can achieve a non-zero ZOSR. We conjecture that the proposed dependency structure achieves maximum ZOSR. To better understand the underlying dependence structure, we further consider the case where the channel gains are from finite alphabets and systematically and globally solve the ZOSC. In addition, we apply the rearrangement algorithm to solve the ZOSR for continuous channel gains. The results indicate that the legitimate link must have an advantage in terms of the number of antennas and average channel gains to obtain positive ZOSR. The results motivate further studies into the optimal dependency structures.