Daniel Kraus

Daniel Kraus
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Daniel Kraus

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Statistics - Methodology (6)
Statistics - Applications (2)
Mathematics - Mathematical Physics (1)
Nonlinear Sciences - Exactly Solvable and Integrable Systems (1)
Mathematical Physics (1)

Publications Authored By Daniel Kraus

Quantile regression, the prediction of conditional quantiles, finds applications in various fields. Often, some or all of the variables are discrete. The authors propose two new quantile regression approaches to handle such mixed discrete-continuous data. Read More

Measuring interdependence between probabilities of default (PDs) in different industry sectors of an economy plays a crucial role in financial stress testing. Thereby, regression approaches may be employed to model the impact of stressed industry sectors as covariates on other response sectors. We identify vine copula based quantile regression as an eligible tool for conducting such stress tests as this method has good robustness properties, takes into account potential nonlinearities of conditional quantile functions and ensures that no quantile crossing effects occur. Read More

Vine copulas are pair-copula constructions enabling multivariate dependence modeling in terms of bivariate building blocks. One of the main tasks of fitting a vine copula is the selection of a suitable tree structure. For this the prevalent method is a heuristic called Di{\ss}mann's algorithm. Read More

Vine copulas are a useful statistical tool to describe the dependence structure between several random variables, especially when the number of variables is very large. When modeling data with vine copulas, one often is confronted with a set of candidate models out of which the best one is supposed to be selected. For example, this may arise in the context of non-simplified vine copulas, truncations of vines and other simplifications regarding pair-copula families or the vine structure. Read More

Vine copulas are a highly flexible class of dependence models, which are based on the decomposition of the density into bivariate building blocks. For applications one usually makes the simplifying assumption that copulas of conditional distributions are independent of the variables on which they are conditioned. However this assumption has been criticised for being too restrictive. Read More

We present a rigorous theory of the inverse scattering transform (IST) for the three-component defocusing nonlinear Schrodinger (NLS) equation with initial conditions approaching constant values with the same amplitude as $x\to\pm\infty$. The theory combines and extends to a problem with non-zero boundary conditions three fundamental ideas: (i) the tensor approach used by Beals, Deift and Tomei for $n$-th order scattering problems, (ii) the triangular decompositions of the scattering matrix used by Novikov, Manakov, Pitaevski and Zakharov for the $N$-wave interaction equations, and (iii) a generalization of the cross product via the Hodge star duality, which, to the best of our knowledge, is used in the context of the IST for the first time in this work. The combination of the first two ideas allows us to rigorously obtain a fundamental set of analytic eigenfunctions. Read More

Quantile regression, that is the prediction of conditional quantiles, has steadily gained importance in statistical modeling and financial applications. The authors introduce a new semiparametric quantile regression method based on sequentially fitting a likelihood optimal D-vine copula to given data resulting in highly flexible models with easily extractable conditional quantiles. As a subclass of regular vine copulas, D-vines enable the modeling of multivariate copulas in terms of bivariate building blocks, a so-called pair-copula construction (PCC). Read More

Vine copulas are a flexible class of dependence models consisting of bivariate building blocks and have proven to be particularly useful in high dimensions. Classical model distance measures require multivariate integration and thus suffer from the curse of dimensionality. In this paper we provide numerically tractable methods to measure the distance between two vine copulas even in high dimensions. Read More