4 papers
Lévy graphical models
Sebastian Engelke, Jevgenijs Ivanovs, Jakob D. Thøstesen
Conditional independence and graphical models are crucial concepts for sparsity and statistical modeling in higher dimensions. For Lévy processes, a widely applied class of stocha…
Graphical models for infinite measures with applications to extremes
Sebastian Engelke, Jevgenijs Ivanovs, Kirstin Strokorb
Conditional independence and graphical models are well studied for probability distributions on product spaces. We propose a new notion of conditional independence for any measure…
One-sided Markov additive processes with lattice and non-lattice increments
Jevgenijs Ivanovs, Guy Latouche, Peter Taylor
Dating from the work of Neuts in the 1980s, the field of matrix-analytic methods has been developed to analyse discrete or continuous-time Markov chains with a two-dimensional stat…
Distributionally robust halfspace depth
Jevgenijs Ivanovs, Pavlo Mozharovskyi
Tukey's halfspace depth can be seen as a stochastic program and as such it is not guarded against optimizer's curse, so that a limited training sample may easily result in a poor o…