Journal of Multivariate Analysis最新文献

{"title":"Asymptotic normality of the local linear estimator of the functional expectile regression","authors":"Ouahiba Litimein ,&nbsp;Ali Laksaci ,&nbsp;Larbi Ait-Hennani ,&nbsp;Boubaker Mechab ,&nbsp;Mustapha Rachdi","doi":"10.1016/j.jmva.2023.105281","DOIUrl":"10.1016/j.jmva.2023.105281","url":null,"abstract":"<div><p><span>We are concerned with the nonparametric estimation of the expectile functional regression. More precisely, we build an estimator, by the local linear smoothing approach, of the conditional expectile. Then we establish the </span>asymptotic distribution<span> of the constructed estimator. Establishing this result requires the Bahadur representation of the conditional expectile. The latter is obtained under certain standard conditions which cover the functional aspect of the data as well as the nonparametric characteristic of the model. The real impact of this result in nonparametric functional statistics has been discussed and highlighted using artificial data.</span></p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"202 ","pages":"Article 105281"},"PeriodicalIF":1.6,"publicationDate":"2023-12-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138493515","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Preface to the Special Issue “Copula modeling from Abe Sklar to the present day”","authors":"Christian Genest ,&nbsp;Ostap Okhrin ,&nbsp;Taras Bodnar","doi":"10.1016/j.jmva.2023.105280","DOIUrl":"10.1016/j.jmva.2023.105280","url":null,"abstract":"","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105280"},"PeriodicalIF":1.6,"publicationDate":"2023-12-02","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138493514","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A proper scoring rule for minimum information bivariate copulas","authors":"Yici Chen,&nbsp;Tomonari Sei","doi":"10.1016/j.jmva.2023.105271","DOIUrl":"10.1016/j.jmva.2023.105271","url":null,"abstract":"<div><p><span>Two-dimensional distributions whose marginal distributions are uniform are called bivariate </span>copulas<span>. Among them, the one that satisfies given constraints on expectation and is closest to being an independent distribution in the sense of Kullback–Leibler divergence is called the minimum information bivariate copula. The density function of the minimum information copula contains a set of functions called the normalizing functions, which are often difficult to compute. Although a number of proper scoring rules for probability distributions having normalizing constants such as exponential families have been proposed, these scores are not applicable to the minimum information copulas due to the normalizing functions. In this paper, we propose the conditional Kullback–Leibler score, which avoids computation of the normalizing functions. The main idea of its construction is to use pairs of observations. We show that the proposed score is strictly proper in the space of copula density functions and therefore the estimator derived from it has asymptotic consistency. Furthermore, the score is convex with respect to the parameters and can be easily optimized by the gradient methods.</span></p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105271"},"PeriodicalIF":1.6,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503945","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Comparison of the Efficacy of Macintosh Laryngoscope Versus Airtraq Videolaryngoscope for Visualization of Laryngeal Structures at the End of Thyroidectomy: A Randomized Control Study.","authors":"Geetanjali Tolia Chilkoti, Pallav Bhandari, M Mohta, Ashok Kumar Saxena, Ruchi Kapoor","doi":"10.1007/s12070-023-03828-9","DOIUrl":"10.1007/s12070-023-03828-9","url":null,"abstract":"<p><p>To compare the efficacy of conventional Macintosh laryngoscope with Airtraq videolaryngoscope for visualization of laryngeal structures to rule out recurrent laryngeal nerve injury at the end of thyroidectomy. This randomized double-blind control study was conducted following IEC-Human approval, prospective CTRI registration and written informed consent from participants. Patients of either sex, aged 18-65 years, ASA grade I/II, scheduled for thyroidectomy under GA were included. Group DL underwent direct laryngoscopy using Macintosh blade whereas group VL underwent laryngoscopy using Airtraq® videolaryngoscope. CL(Cormack-Lehane) grade of laryngeal view, time taken to achieve optimal view, haemodynamic parameters, Patient reactivity score(PRS) and complications were noted. Unpaired t-test, chi-square test were used. A total of 73 patients were included for study with 38 in group DL and 35 in group VL. The grade of laryngeal view was found to be significantly better with Airtraq® VL compared to Macintosh laryngoscope without the application of BURP (<i>p</i> < 0.05). In the DL group, 34.2% (n = 13) had a CL grade I, 36.8% (n = 14) had CL grade 2A, 13.2% had CL grade 2B (n = 5) and 15.8% (n = 6) had CL Grade 3 at the end of thyroidectomy. On the contrary, in the VL Group, 71.5% (n = 25) of the participants had a CL Grade I; whereas, 20% (n = 7) had a CL Grade 2A, 5.7% (n = 2) had CL grade 2B and 2.8% (n = 1) of participants had CL grade 3. The mean \"time taken to achieve optimal view' was comparable between the two groups (DL = 39.16 ± 105.53 s vs. VL = 38.89 ± 20.69 s) (<i>p</i> = 0.988).The haemodynamic parameters, Patient reactivity score and complications were comparable between the two groups. The performance of Airtraq® videolaryngoscope, a channelled VL is better than conventional Macintosh laryngoscope in terms of the optimal glottic view obtained to rule out recurrent laryngeal nerve palsy at the end of thyroidectomy.</p>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"1 1","pages":"3191-3198"},"PeriodicalIF":1.4,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.ncbi.nlm.nih.gov/pmc/articles/PMC10646054/pdf/","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"90454679","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"The weighted characteristic function of the multivariate PIT: Independence and goodness-of-fit tests","authors":"Jean-François Quessy,&nbsp;Samuel Lemaire-Paquette","doi":"10.1016/j.jmva.2023.105272","DOIUrl":"10.1016/j.jmva.2023.105272","url":null,"abstract":"<div><p><span>Many authors have exploited the fact that the distribution of the multivariate probability<span> integral transformation (PIT) of a continuous random vector </span></span><span><math><mrow><mi>X</mi><mo>∈</mo><msup><mrow><mi>R</mi></mrow><mrow><mi>d</mi></mrow></msup></mrow></math></span> with cumulative distribution function <span><math><msub><mrow><mi>F</mi></mrow><mrow><mi>X</mi></mrow></msub></math></span> is free of the marginal distributions. While most of these methods are based on the cdf of <span><math><mrow><mi>W</mi><mo>=</mo><msub><mrow><mi>F</mi></mrow><mrow><mi>X</mi></mrow></msub><mrow><mo>(</mo><mi>X</mi><mo>)</mo></mrow></mrow></math></span><span>, this paper introduces the weighted characteristic function (WCf) of </span><span><math><mi>W</mi></math></span>. A sample version of the WCf of <span><math><mi>W</mi></math></span><span><span> based on pseudo-observations is proposed and its weak limit in a space of complex functions is formally established. This result can be used to define test statistics for multivariate independence and goodness-of-fit in </span>copula<span> models, whose asymptotic behaviour comes from the weak convergence of the empirical WCf process. Simulations show the good sampling properties of these new tests, and an illustration is given on the multivariate Cook and Johnson dataset.</span></span></p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105272"},"PeriodicalIF":1.6,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503943","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A flexible Clayton-like spatial copula with application to bounded support data","authors":"Moreno Bevilacqua ,&nbsp;Eloy Alvarado ,&nbsp;Christian Caamaño-Carrillo","doi":"10.1016/j.jmva.2023.105277","DOIUrl":"10.1016/j.jmva.2023.105277","url":null,"abstract":"<div><p>The Gaussian copula is a powerful tool that has been widely used to model spatial and/or temporal correlated data with arbitrary marginal distributions. However, this kind of model can potentially be too restrictive since it expresses a reflection symmetric dependence. In this paper, we propose a new spatial copula model that makes it possible to obtain random fields with arbitrary marginal distributions with a type of dependence that can be reflection symmetric or not.</p><p>Particularly, we propose a new random field with uniform marginal distributions that can be viewed as a spatial generalization of the classical Clayton copula model. It is obtained through a power transformation of a specific instance of a beta random field which in turn is obtained using a transformation of two independent Gamma random fields.</p><p><span>For the proposed random field, we study the second-order properties and we provide analytic expressions for the bivariate distribution<span> and its correlation. Finally, in the reflection symmetric case, we study the associated geometrical properties. As an application of the proposed model we focus on spatial modeling of data with bounded support. Specifically, we focus on spatial regression models with marginal distribution of the beta type. In a simulation study, we investigate the use of the weighted pairwise composite likelihood method for the estimation of this model. Finally, the effectiveness of our methodology is illustrated by analyzing point-referenced vegetation index data using the Gaussian copula as benchmark. Our developments have been implemented in an open-source package for the </span></span><span>R</span> statistical environment.</p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105277"},"PeriodicalIF":1.6,"publicationDate":"2023-12-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503944","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Quantifying directed dependence via dimension reduction","authors":"Sebastian Fuchs","doi":"10.1016/j.jmva.2023.105266","DOIUrl":"10.1016/j.jmva.2023.105266","url":null,"abstract":"<div><p>Studying the multivariate extension of copula correlation yields a dimension reduction principle, which turns out to be strongly related with the ‘simple measure of conditional dependence’ <span><math><mi>T</mi></math></span> recently introduced by Azadkia and Chatterjee (2021). In the present paper, we identify and investigate the dependence structure underlying this dimension reduction principle, provide a strongly consistent estimator for it, and demonstrate its broad applicability. For that purpose, we define a bivariate copula capturing the scale-invariant extent of dependence of an endogenous random variable <span><math><mi>Y</mi></math></span> on a set of <span><math><mrow><mi>d</mi><mo>≥</mo><mn>1</mn></mrow></math></span> exogenous random variables <span><math><mrow><mi>X</mi><mo>=</mo><mrow><mo>(</mo><msub><mrow><mi>X</mi></mrow><mrow><mn>1</mn></mrow></msub><mo>,</mo><mo>…</mo><mo>,</mo><msub><mrow><mi>X</mi></mrow><mrow><mi>d</mi></mrow></msub><mo>)</mo></mrow></mrow></math></span>, and containing the information whether <span><math><mi>Y</mi></math></span> is completely dependent on <span><math><mi>X</mi></math></span>, and whether <span><math><mi>Y</mi></math></span> and <span><math><mi>X</mi></math></span> are independent. The dimension reduction principle becomes apparent insofar as the introduced bivariate copula can be viewed as the distribution function of two random variables <span><math><mi>Y</mi></math></span> and <span><math><msup><mrow><mi>Y</mi></mrow><mrow><mo>′</mo></mrow></msup></math></span> sharing the same conditional distribution and being conditionally independent given <span><math><mi>X</mi></math></span>. Evaluating this copula uniformly along the diagonal, i.e., calculating Spearman’s footrule, leads to an unconditional version of Azadkia and Chatterjee’s ‘simple measure of conditional dependence’ <span><math><mi>T</mi></math></span>. On the other hand, evaluating this copula uniformly over the unit square, i.e., calculating Spearman’s rho, leads to a distribution-free coefficient of determination (also known as ‘copula correlation’). Several real data examples illustrate the importance of the introduced methodology.</p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105266"},"PeriodicalIF":1.6,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0047259X23001124/pdfft?md5=f31ac61da24cd2b73ec43ea69b45dbc2&pid=1-s2.0-S0047259X23001124-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503942","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A new method to construct high-dimensional copulas with Bernoulli and Coxian-2 distributions","authors":"Christopher Blier-Wong,&nbsp;Hélène Cossette,&nbsp;Sebastien Legros,&nbsp;Etienne Marceau","doi":"10.1016/j.jmva.2023.105261","DOIUrl":"10.1016/j.jmva.2023.105261","url":null,"abstract":"<div><p><span>We propose an approach to construct a new family of generalized Farlie–Gumbel–Morgenstern (GFGM) copulas<span><span><span><span> that naturally scales to high dimensions. A GFGM copula can model moderate positive and negative dependence, cover different types of asymmetries, and admits exact expressions for many quantities of interest such as measures of association or risk measures in </span>actuarial science or quantitative risk management. More importantly, this paper presents a new method to construct high-dimensional copulas based on mixtures of power functions and may be adapted to more general contexts to construct broader families of copulas. We construct a family of copulas through a stochastic representation based on multivariate </span>Bernoulli distributions and Coxian-2 distributions. This paper will cover the construction of a GFGM copula and study its measures of multivariate association and dependence properties. We explain how to sample random vectors from the new family of copulas in high dimensions. Then, we study the </span>bivariate case in detail and find that our construction leads to an asymmetric modified Huang–Kotz FGM copula. Finally, we study the exchangeable case and provide insights into the most negative </span></span>dependence structure within this new class of high-dimensional copulas.</p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105261"},"PeriodicalIF":1.6,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503939","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"High-dimensional Bernstein–von Mises theorem for the Diaconis–Ylvisaker prior","authors":"Xin Jin ,&nbsp;Anirban Bhattacharya ,&nbsp;Riddhi Pratim Ghosh","doi":"10.1016/j.jmva.2023.105279","DOIUrl":"10.1016/j.jmva.2023.105279","url":null,"abstract":"<div><p><span>We study the asymptotic normality<span><span><span> of the posterior distribution of canonical parameter in the </span>exponential family under the Diaconis–Ylvisaker prior which is a </span>conjugate prior when the dimension of parameter space increases with the sample size. We prove under mild conditions on the true parameter value </span></span><span><math><msub><mrow><mi>θ</mi></mrow><mrow><mn>0</mn></mrow></msub></math></span><span><span> and hyperparameters of priors, the difference between the posterior distribution and a normal distribution centered at the </span>maximum likelihood estimator<span>, and variance equal to the inverse of the Fisher information matrix goes to 0 in the expected total variation distance. The proof assumes dimension of parameter space </span></span><span><math><mi>d</mi></math></span> grows linearly with sample size <span><math><mi>n</mi></math></span> only requiring <span><math><mrow><mi>d</mi><mo>=</mo><mi>o</mi><mrow><mo>(</mo><mi>n</mi><mo>)</mo></mrow></mrow></math></span><span>. En route, we derive a concentration inequality of the quadratic form of the maximum likelihood estimator without any specific assumption such as sub-Gaussianity. A specific illustration is provided for the Multinomial-Dirichlet model with an extension to the density estimation and Normal mean estimation problems.</span></p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"200 ","pages":"Article 105279"},"PeriodicalIF":1.6,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503940","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Supermodular and directionally convex comparison results for general factor models","authors":"Jonathan Ansari ,&nbsp;Ludger Rüschendorf","doi":"10.1016/j.jmva.2023.105264","DOIUrl":"10.1016/j.jmva.2023.105264","url":null,"abstract":"<div><p>This paper provides comparison results for general factor models with respect to the supermodular and directionally convex order. These results extend and strengthen previous ordering results from the literature concerning certain classes of mixture models as mixtures of multivariate normals, multivariate elliptic and exchangeable models to general factor models. For the main results, we first strengthen some known orthant ordering results for the multivariate <figure><img></figure> -product of the specifications, which represents the copula of the factor model, to the stronger notion of the supermodular ordering. The stronger comparison results are based on classical rearrangement results and in particular are rendered possible by some involved constructions of transfers as arising from mass transfer theory. The ordering results for <figure><img></figure> -products are then extended to factor models with general conditional dependencies. As a consequence of the ordering results, we derive worst case scenarios in relevant classes of factor models allowing, in particular, interesting applications to deriving sharp bounds in financial and insurance risk models. The results and methods of this paper are a further indication of the particular effectiveness of Sklar‘s copula notion.</p></div>","PeriodicalId":16431,"journal":{"name":"Journal of Multivariate Analysis","volume":"201 ","pages":"Article 105264"},"PeriodicalIF":1.6,"publicationDate":"2023-11-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"https://www.sciencedirect.com/science/article/pii/S0047259X23001100/pdfft?md5=79b1641af919cd99e14f1bcbf5afbfbd&pid=1-s2.0-S0047259X23001100-main.pdf","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138503941","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":3,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"OA","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}