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The Pay-for-Performance Myth
Last week, Eric Chemi and Ariana Giorgi published an interesting article on “The Pay-for-Performance Myth” With all the public chatter about exorbitant executive compensation and income inequality,...
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Conditional Distributions from some Elliptical Vectors
This winter, in my ACT8595 course, I asked my students (that was some homework) to prove that it was possible to derive the conditional distribution when we have a Student-t random vector (and to get...
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On Hoeffding’s identity
In 1940, Wassily Hoeffding published Masstabinvariante Korrelationstheorie, which was an impressive paper. For those (like me) who unfortunately barely speak German, an English translation could be...
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Examen, Copules et Valeurs Extrêmes
Après les exposés des dernières séances, l’examen du cours MAT8595, Copules et Valeurs Extrêmes avait lieu hier matin. L’énoncé est en ligne, et j’ai aussi écrit quelques éléments de correction, là. En...
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Copula Density Estimation
The joint paper, written with Gery Geenens and Davy Paindaveine, entitled “Probit transformation for nonparametric kernel estimation of the copula density” is now online on...
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Modeling the Marginals and the Dependence separately
When introducing copulas, it is commonly admitted that copulas are interesting because they allow to model the marginals and the dependence structure separately. The motivation is probably Sklar’s...
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Correlation with constraints on pairs
An interesting question was posted on http://math.stackexchange.com/726205/…: if one knows the covariances and , is it possible to infer ? I asked myself a question close to this one a few weeks ago...
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Talk at CIMAT, Guanajuato, Mexico
I will be back in Guanajuato, Mexico, this week, to visit Victor Rivero. And I will give a talk at the Centro de Investigacion en Matematicas (CIMAT) this Wednesday on “Multivariate Archimax Copulas“....
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Bivariate Densities with N(0,1) Margins
This Monday, in the ACT8595 course, we came back on elliptical distributions and conditional independence (here is an old post on de Finetti’s theorem, and the extension to Hewitt-Savage’s). I have...
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Pariwise and global dependence
I was just contacted by some researchers willing to test if a multivariate copula is – or not – Gaussian. They use a test proposed in an unpublished paper by Malevergne and Sornette, stating that one...
View ArticleMultivariate Archimax copulas
Our paper, written jointly also with Anne-Laure Fougères, Christian Genest and Johanna Nešlehová, entitled Multivariate Archimax Copulas, should appear some day in the Journal of Multivariate Analysis....
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In statistics, having too much information might not be a good thing
A common idea in statistics is that if we don’t know something, and we use anestimator of that something (instead of the true value) then there will be some additional uncertainty. For instance,...
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Conditional dependence measures
This week, I spend some time at the Workshop on Nonparametric Curve Smoothing conference at Concordia. Yesterday afternoon, Noël Veraverbeke show an interesting graph, to illustrate conditional copulas...
View ArticleGraduate Course on Copulas and Extreme Values
This Winter, I will be giving a (graduate) course on extreme values, and copulas (more generally multivariate models and dependence), MAT8595. It is an ISM course, and even if it will probably be given...
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Exchangeability, credit risk and risk measures
Exchangeability is an extremely concept, since (most of the time) analytical expressions can be derived. But it can also be used to observe some unexpected behaviors, that we will discuss later on with...
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Copules et processus empiriques
Tarek Zari a soutenu sa thèse au début du mois, présentant une “contribution à l’étude du processus empirique de copule“, et sa thèse est en ligne ici. Je mets aussi une copie de ses slides là....
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Exchange rates and correlation matrices
I wanted to upload here a small problem I started to work on…. unfortunatley, I could not find (yet) a proper answer. Any comments and suggestions are welcomed. The problem is simple: consider 3...
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Interpréter la corrélation linéaire (2)
Je vais prendre 10 minutes pour continuer la discussion amorcée ici . Le carré de la corrélation est parfois interprété comme la “proportion de variance de Y expliquée par X“. Pour Rodgers and...
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Quantile de sommes, ou somme de quantiles ?
Je reprends ici un commentaire que j’ai longtemps entendu dans mon expérience d’actuaire dans une vie antérieure (et qu’on peut lire – entre les lignes le plus souvent – dans certaines réactions de...
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Ecole d’été en actuariat à Brest
Exposé sur mesures de risques et dépendance, à Brest, dans le cadre de l’école d’été, la première partie est en ligne ainsi que la seconde
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