5 papers
A polyhedral framework for hierarchical Archimedean copulas: estimation, hierarchy recovery and singular asymptotics
Leonardo Marconi
Hierarchical Archimedean copulas (HACs) admit redundant tree representations: when adjacent internal nodes have equal parameters, contracting the connecting edge leaves the copula…
Fast Switching Near a Smooth Interface: A Curvature-Universal Kirchhoff Limit
Leonardo Marconi
We derive a weighted Kirchhoff diffusion on a smooth Riemannian open book as a scaling limit of regime-switching Brownian motions on boundaryless manifolds. The pages are compact R…
Geometric Regime--Switching Diffusions on Stratified Riemannian Spaces with an Application to Covariance Matrices
Leonardo Marconi, Matteo Farnè, Alexander Aue
We construct geometric regime-switching diffusions, a class of Markov processes on locally compact stratified Riemannian state spaces. In contrast with classical regime-switching a…
An associated bundle approach to the Bures--Wasserstein geometry of fixed rank covariance matrices
Leonardo Marconi
The Bures--Wasserstein geometry of covariance matrices provides a canonical distance on the statistical manifold of centred Gaussian measures and lies at the intersection of inform…
On some stochastic hyperbolic equations with symplectic characteristics
Enrico Bernardi, Leonardo Marconi
We study the effect of Gaussian perturbations on a class of model hyperbolic partial differential equations with double symplectic characteristics in low spatial dimensions, extend…