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Ubc theses and dissertations, vine copulas : dependence structure learning, diagnostics, and applications to regression analysis chang, bo --> -->.
Copulas are widely used in high-dimensional multivariate applications where the assumption of Gaussian distributed variables does not hold. Vine copulas are a flexible family of copulas built from a sequence of bivariate copulas to represent bivariate dependence and bivariate conditional dependence. The vine structures consist of a hierarchy of trees to express conditional dependence. The contributions of this thesis are (a) improved methods for finding parsimonious truncated vine structures when the number of variables is moderate to large; (b) diagnostic methods to help in decisions for bivariate copulas in the vine; (c) applications to predictions based on conditional distributions of the vine copula. The vine structure learning problem has been challenging due to the large search space. Existing methods are based on greedy algorithms and do not in general produce a solution that is near the global optimum. It is an open problem to choose a good truncated vine structure when there are many variables. We propose a novel approach to learning truncated vine structures using Monte Carlo tree search, a method that has been widely adopted in game and planning problems. The proposed method has significantly better performance over the existing methods under various experimental setups. Moreover, diagnostic methods based on measures of dependence and tail asymmetry are proposed to guide the choice of parametric bivariate copula families assigned to the edges of the trees in the vine and to assess whether a copula is constant over the conditioning value(s) for trees 2 and higher. If the diagnostic methods suggest the existence of reflection asymmetry, permutation asymmetry, or asymmetric tail dependence, then three- or four-parameter bivariate copula families might be needed. If the conditional dependence measures or asymmetry measures in trees 2 and up are not constant over the conditioning value(s), then non-constant copulas with parameters varying over conditioning values should be considered. Finally, for data from an observational study, we propose a vine copula regression method that uses regular vines and handles mixed continuous and discrete variables. This method can efficiently compute the conditional distribution of the response variable given the explanatory variables.
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Title: detecting dependence structure: visualization and inference.
Abstract: Identifying dependency between two random variables is a fundamental problem. Clear interpretability and ability of a procedure to provide information on the form of the possible dependence is particularly important in evaluating dependencies. We introduce a new estimator of the quantile dependence function and pertinent local acceptance regions. This leads to insightful visualization and evaluation of underlying dependence structure. We also propose a test of independence of two random variables, pertinent to this new estimator. Our procedures are based on ranks and we derive a finite-sample theory that guarantees the inferential validity of our solutions at any given sample size. The procedures are simple to implement and computationally efficient. Large-sample consistency of the proposed test is also proved. We show that, in terms of power, new test is one of the best statistics for independence testing when considering a wide range of alternative models. Finally, we demonstrate use of our approach to visualize dependence structure and to detect local departures from independence through analyzing some datasets.
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Identifying dependency between two random variables is a fundamental problem. Clear interpretability and ability of a procedure to provide information on the form of the possible dependence is particularly important in evaluating dependencies. We introduce a new estimator of the quantile dependence function and pertinent local acceptance regions. This leads to insightful visualization and evaluation of underlying dependence structure. We also propose a test of independence of two random variables, pertinent to this new estimator. Our procedures are based on ranks and we derive a finite-sample theory that guarantees the inferential validity of our solutions at any given sample size. The procedures are simple to implement and computationally efficient. Large-sample consistency of the proposed test is also proved. We show that, in terms of power, new test is one of the best statistics for independence testing when considering a wide range of alternative models. Finally, we demonstrate use of our approach to visualize dependence structure and to detect local departures from independence through analyzing some datasets.
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Dependence and dependence structures: estimation and visualization using the unifying concept of distance multivariance
Distance multivariance is a multivariate dependence measure, which can detect dependencies between an arbitrary number of random vectors each of which can have a distinct dimension. Here we discuss several new aspects, present a concise overview and use it as the basis for several new results and concepts: in particular, we show that distance multivariance unifies (and extends) distance covariance and the Hilbert-Schmidt independence criterion HSIC, moreover also the classical linear dependence measures: covariance, Pearson’s correlation and the RV coefficient appear as limiting cases. Based on distance multivariance several new measures are defined: a multicorrelation which satisfies a natural set of multivariate dependence measure axioms and m -multivariance which is a dependence measure yielding tests for pairwise independence and independence of higher order. These tests are computationally feasible and under very mild moment conditions they are consistent against all alternatives. Moreover, a general visualization scheme for higher order dependencies is proposed, including consistent estimators (based on distance multivariance) for the dependence structure.
Many illustrative examples are provided. All functions for the use of distance multivariance in applications are published in the R-package multivariance.
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Detecting financial data dependence structure by averaging mixture copulas.
Published online by Cambridge University Press: 10 September 2018
A mixture copula is a linear combination of several individual copulas that can be used to generate dependence structures not belonging to existing copula families. Because different pairs of markets may exhibit quite different dependence structures in empirical studies, mixture copulas are useful in modeling the dependence in financial data. Therefore, rather than selecting a single copula based on certain criteria, we propose using a model averaging approach to estimate financial data dependence structures in a mixture copula framework. We select weights (for averaging) by a J -fold Cross-Validation procedure. We prove that the model averaging estimator is asymptotically optimal in the sense that it minimizes the squared estimation loss. Our simulation results show that the model averaging approach outperforms some competing methods when the working mixture model is misspecified. Using 12 years of data on daily returns from four developed economies’ stock indexes, we show that the model averaging approach more accurately estimates their dependence structures than some competing methods.
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We would like to thank the Editor, Peter C.B. Phillips, Co-Editor, Dennis Kristensen, and three anonymous referees for their insightful comments that greatly improved our article. We would also like to thank Yanqin Fan and Xiaohong Chen for their help during the revision process of this article. Liu’s research is supported by the National Natural Science Foundation of China (Grant No. 71803160) and the Fundamental Research Funds for the Central Universities (project number 20720171061). Long’s research is partially supported by the Carol Lavin Bernick Faculty Grants at Tulane University. Zhang and Li’s research is partially supported by National Natural Science Foundation of China (projects 71522004, 11471324, and 71631008 for Zhang; 71722011 and 71601130 for Li).
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- Volume 35, Issue 4
- Guannan Liu (a1) , Wei Long (a2) , Xinyu Zhang (a3) and Qi Li (a4)
- DOI: https://doi.org/10.1017/S0266466618000270
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Dependence structure in financial time series: Applications and evidence from wavelet analysis
Conventional time series theory and spectral analysis have independently achieved significant popularity in mainstream economics and finance research over long periods. However, the fact remains that each is somewhat lacking if the other is absent. To overcome this problem, a new methodology, wavelet analysis, has been developed to capture all the information localized in time and in frequency, which provides us with an ideal tool to study non-stationary time series. This paper aims to explore the application of a variety of wavelet-based methodologies in conjunction with conventional techniques, such as the Generalized Autoregressive Conditional Heteroskedasticity (GARCH) models and long-memory parameter estimates, in analysing the short and long term dependence structure of financial returns and volatility. Specifically, by studying the long-memory property of these time series we hope to identify the source of their possible predictability. Above all else, we document the indispensable role of trading activities associated with low frequencies in determining the long-run dependence of volatility. It follows that GARCH models incorporating long-memory and asymmetric returns-volatility dynamics can provide reasonably accurate volatility forecasts. Additionally, the persistence parameter of returns, represented by the Hurst index, is observed to be correlated to trading profits obtained from typical technical rules designed to detect and capitalize on existing trending behaviour of stock prices. This implies that the Hurst index can be used as a good indicator of the long-memory characteristic of the market, which in turn drives such trending behaviour.
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Risk Measurement under Dependence Structure Ambiguity
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Reality and Its Structure: Essays in Fundamentality
Ricki Bliss and Graham Priest (eds.), Reality and its Structure: Essays in Fundamentality , Oxford University Press, 2018, 324pp., $70.00 (hbk), ISBN 9780198755630.
Reviewed by David Mark Kovacs, Tel Aviv University
Over the last ten years we have witnessed an explosion of research done in "stratified metaphysics", the area of metaphysics whose main focus is on concepts such as grounding, ontological dependence and fundamentality, and various first-order issues cast in terms of such notions. The present volume contains fifteen essays that fall within this broad research program, with one interesting twist to them: one way or other, they all question what has widely come to be recognized as the "orthodoxy" concerning the structure of reality.
What is the orthodoxy? In their helpful introduction, Ricki Bliss and Graham Priest formulate it as the conjunction of four theses:
1. The hierarchy thesis: Reality is hierarchically structured by metaphysical dependence relations that are anti-symmetric, transitive and anti-reflexive.
2. The fundamentality thesis: There is some thing(s) which is fundamental.
3. The contingency thesis: Whatever is fundamental is merely contingently existent.
4. The consistency thesis: The dependence structure has consistent structural properties. (2)
Accordingly, the book is organized into three parts: the seven essays in Part I question the Hierarchy Thesis; another six essays in Part II question the Fundamentality Thesis; and one paper each in Part III questions the Contingency Thesis and the Consistency Thesis, respectively.
There is a tricky issue about the proper formulation of the orthodoxy: different philosophers working in stratified metaphysics use different concepts to describe the structure of reality (e.g. some use grounding whereas other use ontological dependence), and these concepts are invoked to play overlapping but not quite identical theoretical roles. Bliss and Priest are aware of this difficulty and make the conscious decision largely to bracket it: when formulating the four pillars of the orthodoxy, they help themselves to fundamentality and a general notion of dependence and assume that the most important questions concerning the ultimate structure of reality won't turn on these conceptual decisions (4-5).
The decision not to differentiate sharply between ontological dependence and grounding has the advantage of not burdening first-order debates over the structure of reality with tedious conceptual distinctions that might ultimately prove irrelevant to the main issue. But it also has a major disadvantage: those who do draw the distinction will often be at a loss when trying to decide whether they count as friends or foes of particular components of the orthodoxy. [1] Indeed, the distinction might even have some bearing on whether Bliss and Priest's four theses capture a genuine orthodoxy. If we replace 'dependence' with 'grounding', they undoubtedly do. It's much less clear that they capture a genuine orthodoxy about ontological dependence, when that relation is understood in line with the specialized literature on this notion. Many theorists of ontological dependence don't merely deny irreflexivity but in fact assume without argument that ontological dependence is trivially reflexive and that everything ontologically depends on itself. [2] The status of the Fundamentality Thesis also becomes unobvious when understood as a thesis about ontological dependence, since it's far less common to assume that this relation bears systematic links to fundamentality than that grounding does (in the neo-Aristotelian tradition ontological independence has often been understood as a criterion of substancehood, but it's up for grabs whether substances are automatically fundamental according to most contemporary uses of the word 'fundamental'.)
My conceptual reservations aside, Bliss and Priest's introductory chapter does a nice job laying out the logical space of possible views regarding the first two (and to some extent, the fourth) tenets of what they define as the orthodoxy. Here, they map out the range of possible views according to four core principles regarding the structure of reality that one might accept or reject:
Anti-reflexivity: Nothing depends on itself.
Anti-symmetry: No things depend on each other.
Transitivity: Everything depends on anything a dependent depends on.
Extendability: Everything depends on something else.
As they note, there are sixteen ways in which these views could be combined, eleven of which are logically consistent. Another five views are inconsistent, though one who rejects the Consistency Thesis (an option they take seriously) might still endorse them.
As one can expect from a volume of this kind, the general tenor of most of the contributions, as well as the introduction, is skepticism about the orthodoxy. There is room for reasonable disagreement over how strong the case is for each element of the orthodoxy, and before concluding that most components of it are insufficiently supported, Bliss and Priest give most of them a fair hearing. For example, they consider a number of possible arguments for the Fundamentality Thesis, and I'm inclined to agree that none of them is decisive. (I think they are too quick to mark as "question-begging" arguments that are simply not particularly compelling, but this is a minor point of contention.) However, it seems to me that their discussion of the Hierarchy Thesis (and especially the Anti-reflexivity principle) could leave a newcomer to this literature with the impression that these are little more than uncritically endorsed dogmas. At least in the case of irreflexivity (and for this reason also the disjunction of transivitity and anti-symmetry, at least one of which would have to go if irreflexivity does), I hereby record my disagreement. In my view, the best reason for thinking that grounding is irreflexive has to do with a constraint on explanation: for any x , if x explains y then x needs to be able to convey some information that y doesn't itself convey. This argument for irreflexivity has been defended in detail by several authors, including Schnieder (2015), Guigon (2015) and myself (Kovacs 2018b). Bliss and Priest consider a similar argument in a couple of sentences (p. 14); Bliss devotes to it another couple of paragraphs in her contribution to the volume (p. 87). I will leave it to readers to decide if the argument has been adequately addressed.
Several of the contributors (e.g. Bliss, Daniel Nolan, and Naomi Thompson, Mark Jago and John Wigglesworth) follow Bliss and Priest's decision of not worrying too much about the distinction between grounding and ontological dependence. One important exception is Elizabeth Barnes' "Symmetric Dependence". In this insightful and quite convincing paper, Barnes argues -- by citing a number of substantive philosophical theses, for example an Aristotelian conception of universals and an Armstrong-inspired theory of states of affairs -- that ontological dependence isn't asymmetric, or that at the very least it shouldn't simply be assumed that it's asymmetric. But she is careful to emphasize that this result cannot be generalized to grounding and explanatory or priority-inducing relations. (In light of this, it is somewhat surprising that several authors in the volume nonetheless attempt to recruit her when defending revisionary conceptions of grounding .)
A few words about the other essays in Part I. Gabriel Oak Rabin explores how much of the orthodoxy could be relaxed consistently with grounding still serving as the relation in terms of which a "layered" conception of the world can be formulated. His answer is that most of the orthodoxy can indeed be preserved, since there is a conceptual gap between the orthodox view about the layered conception and orthodox view about grounding itself. The idea that reality comes in more and less fundamental layers, and that the former are in some way determined by the latter, can be formulated in terms of grounding even if grounding is a non-symmetric, non-reflexive and non-transitive relation.
In "Grounding and Reflexivity," Bliss criticizes the common assumption that grounding is irreflexive. She supports the possibility of self-grounding by intuitive counterexamples to irreflexivity, e.g. Kit Fine's puzzles of ground (more on these in a moment) and a counterexample due to Jenkins (2011): physicalism is the thesis that the mental is grounded in the physical; but surely the identity theory is a version of physicalism; so it is at least a conceptual possibility that mental states are both grounded in and identical to physical states. She then considers metaphysical, epistemological and explanatory objections to the possibility of circles of ground, deeming all of them inconclusive.
In "Cosmic Loops", Nolan considers the possibility of cosmic grounding loops, by which he means (roughly) the idea that the universe as a whole exhibits a circular grounding structure. (For example, in the Rucker Loop our universe is a sub-atomic part of a larger universe, which is itself a sub-atomic part of a larger universe, and so on; moreover, our cosmos is grounded in the larger cosmos it is part of, which in turn is grounded in the larger cosmos it is part of, and so on, until we finally get back to our own cosmos.) Nolan then argues that the possibility of cosmic loops can be kept consistent with grounding construed largely in line with the orthodoxy on a local scale: within each cosmic unit, grounding might still behave as if it was irreflexive, asymmetric and transitive.
Thompson ("Metaphysical Interdependence, Epistemic Coherentism, and Holistic Explanantion") attacks both the asymmetry and what she calls the "well-foundedness" of grounding: that for any x , x is either grounded by some foundational fact or facts, or is itself a foundational fact. She offers a few intuitive counterexamples to asymmetry (e.g. the truth teller: perhaps A = <B is true> and B = <A is true> are both true and ground each other; and perhaps each one of mass, density and volume are grounded in the other two) and argues that once we reject asymmetry, there will be theoretical space left for "metaphysical interdependence", which Thompson compares to epistemic coherentism about justification. She also discusses some problem cases for foundationalism (i.e. views that accept asymmetry and well-foundedness), argues that the interdependence view is well equipped to deal with them, and suggests that metaphysical interdependence supports a holistic type of explanation.
Priest's "Buddhist Dependence" is largely exploratory. It describes three Buddhist positions about metaphysical dependence (the Abidharma, the Madhayamaka and the Huayan schools) and argues that these are coherentist views that reject well-foundedness. He also points out some areas where Buddhist thought on metaphysical dependence could fruitfully inform contemporary debates.
Jon Erling Litland's "Bicollective Ground: Towards a (Hyper)Graphic Account" is an interesting development of the idea that grounding takes a plurality of facts not only on the side of the grounded but also on the side of the grounds -- an idea first defended, but not formally developed, by Dasgupta (2014). The paper first argues that Fine's truthmaker semantics isn't suitable to capture bicollective ground and then develops Litland's preferred hypergraphic account. Although largely technical in its orientation, the paper has important philosophical lessons. As Litland points out, a formally rigorous account of bicollective ground allows us to accept a view that is intuitively holistic, but it does so without giving up the formal principles that have been defining the orthodoxy. He also puts the account to use in making sense of a kind of mathematical structuralism.
One thing to note about Part I is that despite its focus on questioning the orthodoxy, none of the essays in it discusses in detail the kinds of cases that proponents of the orthodoxy are usually the most worried about. Most of these cases trace back to Fine's (himself an advocate of the orthodoxy) "Some Puzzles of Ground" (Fine 2010), which in the past few years produced a smaller sub-literature. One such puzzle goes as follows. Surely, there is a fact to the effect that something exists; so [Something exists] exists. Plausibly, whenever there is a fact, f, f at least partially grounds the fact that f exists. So, [Something exists] grounds [[Something exists] exists]. But it's also plausible that existential generalizations are grounded in their witnesses, and [[Something exists] exists] witnesses [Something exists]. So, [[Something exists] exists] also grounds [Something exists]. So, [[Something exists] exists] both grounds and is grounded by [Something exists], in violation of antisymmetry. Assuming transitivity, we also get a violation of anti-reflexivity.
This puzzle has a number of variants and close cousins (see also Krämer 2013). But they all share one important feature: instead of attempting to "directly" counterexample the Hierarchy Thesis, they appeal to very general principles that most grounding theorists find independently attractive and which only jointly lead to a violation of anti-symmetry and anti-reflexivity. For this reason, adherents of the orthodoxy tend to take these puzzles much more seriously than intuitive counterexamples. The typical reaction to the latter has been to simply explain them away in irreflexivity and asymmetry-friendly ways (see, e.g., Raven 2013 for this kind of response). But there is no obvious way to use this strategy against the Fine-inspired puzzles, which caused some to go as far as (grudgingly) to abandon certain parts of the orthodoxy (Correia 2014, Woods 2018). Now, it wouldn't be fair to criticize any of the volume's individual contributions for not choosing the puzzles of grounding as their main topic. Still, there is something odd about the fact that the part of the volume that is dedicated to the Hierarchy Thesis contains no paper that seriously engages with the group of cases that actual proponents of the Hierarchy Thesis (and in particular the anti-reflexivity and anti-symmetry of grounding) are most concerned about.
Parts II-III take up the second half of the book. Einar Duenger Bohn argues ("Indefinitely Descending Ground) that there is no good reason for thinking that grounding is necessarily well founded and offers some arguments for thinking that it isn't even well-founded in the actual world.
Kelly Trogdon takes up a certain line of argument for the existence of a fundamental level, summed up in the slogan that non-fundamental things must "inherit" their reality from something. In this helpful and carefully written paper, Trogdon formulates this often-heard but elusive slogan as a valid argument for the conclusion that necessarily, every non-fundamental entity is grounded in some fundamental entities. He expresses skepticism about the general argument but defends a limited version of it in the form of a plausible principle about causal exclusion.
In "From Nature to Grounding", Jago defends a conception of grounding that ties it to essences, or as he calls them, natures. He thinks that grounding can be used to capture the relation between a thing's nature and its "formal constitution", i.e. the nature's constituents. This model is especially helpful, Jago argues, in understanding the grounding of logically complex states of affairs by their constituents, but suitably understood it can be generalized to properties and material objects as well. He finally argues that the resulting picture of grounding lends support to irreflexivity, asymmetry and transitivity, but not well-foundedness.
Wigglesworth, Tuomas E. Tahko and Matteo Morganti similarly aim to undermine or at least qualify well-foundedness in their respective essays. Wigglesworth does so by proposing a kind of mathematical structuralism in which a grounding-based notion of individuation plays a central role. His account leaves open that the identity of each natural number's identity is grounded by the identity of its successor (and not only its predecessor), which generates a series with a lower bound but no upper bound. This yields a notion of ground that is in an important sense not well-founded and, as Wigglesworth points out, also turns out to be reflexive.
Tahko undertakes to investigate the notion of fundamentality at issue in the "layered" picture of the world. He begins by pointing out that presently we lack strong evidence to believe of any particular set of entities that they are fundamental; for example, neither priority monism (the view that the fundamental entity is the cosmos) nor a strong version of priority pluralism (the idea that it's certain indivisible simples that are fundamental) is very well supported. Tahko thinks this motivates the search for an informative but less contentious characterization of the fundamental level, which he identifies in the notion of ontological minimality: the fundamental level consists of elements that are ontologically minimal, i.e. elements sufficient to give rise to "all the rest". He then proposes that this notion of fundamentality can even leave room for a kind of metaphysical infinitism, namely in the form of "boring" infinite descent (a kind of infinite descent in which the same elements get repeated over and over).
Morganti's essay provides an overview of possible ways in which the grounding structure of the world could lack a foundation. He contrasts coherentist and infinitist views, ultimately suggesting a kind of "hybrid" account on which the structure of reality is itself multifaceted, containing both coherentist and infinitist sub-structures.
The volume's last two essays map out some hitherto uncharted territory. In "On Shaky Ground? Exploring the Contingent Fundamentality Thesis", Nathan Wildman focuses on some underexplored questions about the relation between fundamentality and modality. His main focus is on two questions: whether fundamental entities exist necessarily and whether they have their fundamentality status necessarily (provided they exist). As he points out, each of the four possible combinations of answers are logically coherent, although not all of them are plausible. This exploratory paper should be helpful for much future research on the interaction between fundamentality and necessity.
The last paper, Filippo Casati's highly informative "Heidegger's Grund : (Para-) foundationalism", attempts to reconstruct Heidegger's views on grounding. He first distinguishes between ontic ground (which answers the question of why an entity is what it is) and ontological ground (which answers the question of why an entity is an entity at all). He then introduces Heidegger's doctrine of ontological difference (according to which being -- "Sein" -- is not itself a kind of being) and interprets Heidegger as adopting a kind of foundationalism about ontological ground: for any arbitrary entity, that entity's ontological ground is being. However, while Heidegger thinks that anything we can refer to is a being, he doesn't think that being itself is a being. This quickly leads to a paradox, since in describing being (even in this negative way), we appear to treat it as a being, after all. There is a lot of nuance in Casati's discussion, but he ultimately recommends that we interpret Heidegger as a "para-foundationalist", i.e. a dialetheist with the following (jointly inconsistent) views: being is both an entity and is not an entity, giving rise to two (also jointly inconsistent) grounding structures.
This volume covers a range of topics of current interest about grounding, dependence and fundamentality. Some of these already have a sizeable literature, while others are under-researched and (to my knowledge) make their first appearance in this collection. Philosophers working on stratified metaphysics could find this volume beneficial.
Calosi, Claudio (forthcoming), "Priority monism, grounding, and dependence," Philosophical Studies
Correia, Fabrice (2005), Existential Dependence and Cognate Notions , Munich: Philosophia
Correia, Fabrice (2014), "Logical grounds," Review of Symbolic Logic , 7: 31-59
Dasgupta, Shamik (2014), "On the plurality of grounds," Philosophers' Imprint , 14 (14), 1-28
Fine, Kit (2010), "Some puzzles of ground," Notre Dame Journal of Formal Logic , 51, 97-118
Guigon, Ghislain (2015), "A universe of explanations," Oxford Studies in Metaphysics , 9, 345-375
Jansson, Lina (2017), "Explanatory Asymmetries, Ground, and Ontological Dependence," Erkenntnis , 82: 17-44
Jenkins, Carrie (2011), "Is Metaphysical Dependence Irreflexive?," Monist , 94: 267-76
Koslicki, Kathrin (2015), "The Coarse-Grainedness of Grounding," Oxford Studies in Metaphysics , 9: 306-44
Kovacs, David Mark (2018a), "The Deflationary Theory of Ontological Dependence," Philosophical Quarterly , 68: 481-502
Kovacs, David Mark (2018b), "What is wrong with self-grounding?," Erkenntnis , 83: 1157-1180
Krämer, Stephan (2013), "A simpler puzzle of ground," Thought , 2: 85-89
McKenzie, Kerry (forthcoming), "Structuralism in the Idiom of Determination," British Journal for the Philosophy of Science
Raven, Michael (2013), "Is ground a strict partial order?," American Philosophical Quarterly , 50: 191-199
Rydehn, Henrik (forthcoming), "Grounding and Ontological Dependence," Synthese
Schnieder, Benjamin (forthcoming), "Grounding and Dependence," Synthese
Simons, Peter (1987), Parts: A Study in Ontology , Oxford: Oxford University Press
Thomasson, Amie L. (1999), Fiction and Metaphysics , Cambridge: Cambridge University Press
Woods, Jack (2018), "Emptying a Paradox of Ground," Journal of Philosophical Logic , 47: 631-48
[1] At this point it is fairly standard to distinguish between grounding and ontological dependence; see, for instance, Correia 2005: Ch. 1, Koslicki 2015, Tahko and Lowe 2016: §5, Jansson 2017: 34–9, Kovacs 2018a: 481–2, Calosi forthcoming §4.2, McKenzie forthcoming: §3, Rydehn forthcoming, and Schnieder forthcoming: §3, §5.1. It’s worth noting that there is more to the distinction than the platitude that grounding is a relation between facts whereas ontological dependence is category-neutral. Rather, there is reason to think that the two relations are directed in different ways. Grounding involves a kind of constraining of the grounded by the grounder: given that the grounder is in a certain way, the grounded has to be in a certain way. If the category of the relata were the only interesting difference between grounding and ontological dependence, we would expect the latter to have a similar profile: given that the dependent thing is in a certain way, the dependent would have to be in a certain way. Yet in the case of dependence, the direction of "constraining" runs exactly in the opposite direction: given that the dependent thing is in a certain way, it’s the dependee that has to be in a certain way. So there is good reason to think that it is at the very least a substantive metaphysical question whether there is any systematic connection between grounding and dependence; it is by no means obvious that they are simply converse relations (modulo categorical restrictions on their relata). See also Kovacs 2018a and Calosi forthcoming for a similar justification of the distinction.
[2] Simons (1987: 295), Thomasson (1999: 26) and Tahko and Lowe (2016: §4.2) are cases in point.
Dependence structure analysis: the case of the Vietnamese Stock Market
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The safest dependence structure among risks
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72 Citations
Applications of dependence concepts in insurance and finance, diversification of aggregate dependent risks, optimal allocation of policy limits and deductibles in a model with mixture risks and discount factors, dependence uncertainty bounds and optimization of aggregate risk, a particular way to measure extreme form of dependence: comonotonicity, convex order and comonotonic conditional mean risk sharing, de finetti's dividend problem and impulse control for a two-dimensional insurance risk process, chapter 8 – modelling dependence with copulas and applications to risk management.
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Some new results on aggregate claim amounts from two heterogeneous Marshall–Olkin extended exponential portfolios
Value-at-risk, tail value-at-risk and upper tail transform of the sum of two counter-monotonic random variables, 17 references, on dependence of risks and stop-loss premiums.
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Comonotonicity, correlation order and premium principles
Modeling and comparing dependencies in multivariate risk portfolios, stop-loss order for portfolios of dependent risks, how to (and how not to) compute stop-loss premiums in practice, a note on dependencies in multiple life statuses, ordering of risks in life insurance, dependency of risks and stop-loss order, comonotonicity and maximal stop-loss premiums, premium calculation by transforming the layer premium density, related papers.
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Varying the Structure of Sentences for an Interesting Thesis or Dissertation
As long as the meaning is clear, the problems, concepts and details described and discussed by academics and scientists may be intellectually stimulating regardless of exactly how individual sentences are constructed. However, such material can sometimes come across as dull, even to experts in a field, when there is little variety in the structure of an author’s sentences. This tendency for uniform sentence structures is often particular prevalent in theses and dissertations, where scholarly authors new to writing a long research-based document and perhaps relatively new to writing in the English language as well are faced with reporting reams of data. Clinging to the simplest of sentence structures may seem safe, but the result is usually monotonous and certainly limits a student’s ability to express thoughts and analyses. The sentence types described below with examples may therefore prove helpful in achieving a more sophisticated level of textual communication as well as increasing the variety that tends to hold the interest of readers.
• A compound sentence consisting of two independent clauses (simple sentences) joined by a comma and a coordinating conjunction: ‘I wrote the thesis, and my editor did the formatting.’ ‘I conducted the research, but I hired a statistician to analyse the data.’ ‘I needed a new approach, so I combined the methodology used in two recent studies.’ • A compound sentence consisting of two independent clauses joined by a semicolon: ‘I conducted the research; a statistician analysed the data.’ ‘I needed a new approach; my solution was to combine the methodology used in two recent studies.’ • A compound sentence consisting of two independent clauses joined by (1) a semicolon, (2) an adverb or an adverbial or transitional phrase and, in most cases, (3) a comma: ‘I needed a new approach; however, I was also expected to implement the methods described in two recent studies.’ ‘I combined the approaches used in two recent studies; as a result, the results I achieved were very different.’ • A complex sentence consisting of an independent clause followed by a dependent clause, perhaps with a comma between the clauses: ‘I knew I had passed the examination because my external examiner told me how pleased she was with the way I had implemented her methodology.’ ‘I needed a new approach, although in the end I decided to combine the methods from two recent studies.’ Note that the dependency of the second clause in each case is indicated by a word that is sometimes called a dependency marker – ‘because’ in the first example and ‘although’ in the second. • A complex sentence consisting of a dependent clause followed by an independent clause. The dependency markers feature here as well, and the comma is standard after the dependent clause: ‘Although both methods had already been used, the combination produced unexpected results.’ ‘Because my external examiner told me how pleased she was with the way I had implemented her methodology, I knew I had passed the examination.’ • A sentence, whether simple, compound or complex, that is embedded with an essential phrase or clause. Essential phrases and clauses are, as their name implies, necessary to convey the overall meaning of the sentence. In my example here, the prepositional phrase ‘with additional controls’ is necessary to the meaning of the sentence, so it is an essential phrase and requires no special punctuation: ‘I designed my methodology with additional controls to ensure that the results would be more conclusive.’ • A sentence, whether simple, compound or complex, that is embedded with a nonessential phrase or clause. Unlike an essential phrase or clause, a nonessential phrase or clause can be removed from a sentence without compromising the essential meaning of the entire sentence. In my example here, the relative clause ‘who is the real expert’ provides interesting additional information, but it is not vital to the sentence’s main meaning, so it is a nonessential clause, and notice that a nonessential phrase or clause is surrounded by commas: ‘The advice of my supervisor, who is the real specialist, was invaluable as I designed my methodology.’
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for the dependence relation that extend beyond the restrictive assumptions in clas-sical multivariate Gaussian elliptical dependence. They are built from a sequence of two-dimensional models to represent bivariate dependence and bivariate con-ditional dependence. The contributions of this thesis for vine copulas include (a)
Vine copulas : dependence structure learning, diagnostics, and applications to regression analysis ... The contributions of this thesis are (a) improved methods for finding parsimonious truncated vine structures when the number of variables is moderate to large; (b) diagnostic methods to help in decisions for bivariate copulas in the vine; (c ...
A thesis presented to the University of Waterloo in ful llment of the thesis requirement for the degree of Doctor of Philosophy in Actuarial Science Waterloo, Ontario, Canada, 2013 ... dependence structure, which includes independence and comonotonicity as special cases. In this sense, this thesis generalizes the studies of optimal reinsurance ...
Identifying dependency between two random variables is a fundamental problem. Clear interpretability and ability of a procedure to provide information on the form of the possible dependence is particularly important in evaluating dependencies. We introduce a new estimator of the quantile dependence function and pertinent local acceptance regions. This leads to insightful visualization and ...
Title of thesis: The Dependence Structure in the Finnish Stock Market: A Copula Approach Abstract: Dependence plays a central role in the world of finance and risk management; most well known models build on dependence. The simplest and the most used measure of dependence is the linear correlation. But, if the underlying dependence structure is of
This leads to insightful visualization and evaluation of underlying dependence structure. We also propose a test of independence of two random variables, pertinent to this new estimator. Our procedures are based on ranks and we derive a finite-sample theory that guarantees the inferential validity of our solutions at any given sample size. The ...
no longer a suitable dependence measure. This inadequacy of the use of correlation outside the elliptical world requires an appropriate dependence measure: the copula. 1.2 Object and Scope The focus in this thesis lies on modeling the dependence structure between risks, an essential activity which is needed in the assessment of risk.
Distance multivariance is a multivariate dependence measure, which can detect dependencies between an arbitrary number of random vectors each of which can have a distinct dimension. Here we discuss several new aspects, present a concise overview and use it as the basis for several new results and concepts: in particular, we show that distance multivariance unifies (and extends) distance ...
This thesis presents the concept of tail dependence in a financial context as one tool to measure dependence in the extremes of a bivariate distribution. ... the safest dependence structure, in the sense … Expand. 72. Highly Influential. 9 Excerpts; Save. The safest dependence structure among risks. Jan Dhaene M. Denuit. Mathematics. 1999; 73 ...
A mixture copula is a linear combination of several individual copulas that can be used to generate dependence structures not belonging to existing copula families. Because different pairs of markets may exhibit quite different dependence structures in empirical studies, mixture copulas are useful in modeling the dependence in financial data.
According to proponents of the structural dependence thesis, the answer to both questions is negative, because the structural dependence of labour upon capital severely constrains feasible income distributions. ... explain a significant part of cross-national differences in the structure and development of welfare states (Bradley et al., 2003 ...
this thesis, we combine the theory of (entropy regularized) optimal transportation and the spectral risk measure, which could serve for the general interest in risk measurement, and contribute to both the theoretical and computational aspect of the problem. 1.1.1 Risk Measures A risk measure Rmaps a subset Rof the set of random variables on ...
Conventional time series theory and spectral analysis have independently achieved significant popularity in mainstream economics and finance research over long periods. However, the fact remains that each is somewhat lacking if the other is absent. To overcome this problem, a new methodology, wavelet analysis, has been developed to capture all the information localized in time and in frequency ...
This thesis explores the modeling of volatility and dependence in forward rates in the fixed income market for the purpose of risk estimation in derivative portfolios. ... It was found that the copula that best fit the dependence structure between the two indices is characterized by a relatively strong upper tail dependence described by the ...
Correcting for the Dependence Structure in Social Networks by Caroline Epstein A thesis submitted to Johns Hopkins University in conformity with the requirements for the degree of Master of Science Baltimore, Maryland April, 2014. Abstract The use of social network data has recently become increasingly prevalent in social
In this thesis, we work on a generalization of the entropy regularized optimal transport problem, with the objective function being (spectral) risk measures. We accomplish three goals: to present the corresponding dual problem and prove Kantorovich duality, to prove stability of the optimal value under the weak convergence of marginals, the ...
According to proponents of the structural dependence thesis, the answer to both questions is negative, because the structural dependence of labour upon capital severely constrains feasible income distributions. This article provides a long-run analysis of the UK, which casts doubts on the structural dependence thesis.
The consistency thesis: The dependence structure has consistent structural properties. (2) Accordingly, the book is organized into three parts: the seven essays in Part I question the Hierarchy Thesis; another six essays in Part II question the Fundamentality Thesis; and one paper each in Part III questions the Contingency Thesis and the ...
Dependence structure analysis: the case of the Vietnamese Stock Market. Submission note: A thesis submitted in total fulfilment of the requirements for the degree of Doctor of Philosophy to the School of Economics and Finance, Faculty of Law and Management, La Trobe University, Bundoora.
A contribution of this thesis is to identify statistical procedures for modeling the extremal dependence structure in order to facilitate accurate probabilistic characterization of hydro-meteorological processes. Extreme rainfall is the most common cause of flooding and likelihood of such events is found to increase in recent studies.
In this paper we investigate the dependence in Fréchet spaces containing mutually exclusive risks. It is shown that, under some reasonable assumptions, the safest dependence structure, in the sense of the minimal stop-loss premiums for the aggregate claims involved, is obtained with the Fréchet lower bound and precisely corresponds to the mutually exclusive risks of the Fréchet space. In ...
Download scientific diagram | 1: The dependence structure of the thesis. In light green the appendices. from publication: Kernels and Tensors for Structured Data Modelling | A key ingredient to ...
Varying the Structure of Sentences for an Interesting Thesis or Dissertation. As long as the meaning is clear, the problems, concepts and details described and discussed by academics and scientists may be intellectually stimulating regardless of exactly how individual sentences are constructed. ... Note that the dependency of the second clause ...