AI Chat AI Image Generator AI Video Text to Speech

A Natural Copula

04/13/2023

∙

by Peter B. Lerner, et al.

∙

∙

Copulas are widely used in financial economics as well as in other areas of applied mathematics. Yet, there is much arbitrariness in their choice. The author proposes "a natural copula" concept, which minimizes Wasserstein distance between distributions in some space, in which both these distributions are embedded. Transport properties and hydrodynamic interpretation are discussed with two examples of distributions of financial significance. A natural copula can be parsimoniously estimated by the methods of linear programming.

research

∙ 03/16/2018

Natural gradient via optimal transport I

We study a natural Wasserstein gradient flow on manifolds of probability...

1 Wuchen Li, et al. ∙

research

∙ 09/14/2022

Wasserstein K-means for clustering probability distributions

Clustering is an important exploratory data analysis technique to group ...

0 Yubo Zhuang, et al. ∙

research

∙ 05/09/2022

Visualizing WSPDs and their applications

Introduced by Callahan and Kosaraju back in 1995, the concept of well-se...

0 Anirban Ghosh, et al. ∙

research

∙ 06/14/2021

Distributionally Robust Martingale Optimal Transport

We study the problem of bounding path-dependent expectations (within any...

0 Zhengqing Zhou, et al. ∙

research

∙ 08/20/2020

Linear Optimal Transport Embedding: Provable fast Wasserstein distance computation and classification for nonlinear problems

Discriminating between distributions is an important problem in a number...

0 Caroline Moosmüller, et al. ∙

research

∙ 05/05/2023

The geometry of financial institutions – Wasserstein clustering of financial data

The increasing availability of granular and big data on various objects ...

0 Lorenz Riess, et al. ∙

research

∙ 08/24/2023

Wasserstein Regression with Empirical Measures and Density Estimation for Sparse Data

The problem of modeling the relationship between univariate distribution...

0 Yidong Zhou, et al. ∙