Claudia Czado

Bio: Claudia Czado is an academic researcher from Technische Universität München. The author has contributed to research in topics: Vine copula & Copula (linguistics). The author has an hindex of 42, co-authored 220 publications receiving 7903 citations. Previous affiliations of Claudia Czado include Ludwig Maximilian University of Munich & Katholieke Universiteit Leuven.

Pair-copula constructions of multiple dependence

Abstract: Building on the work of Bedford, Cooke and Joe, we show how multivariate data, which exhibit complex patterns of dependence in the tails, can be modelled using a cascade of pair-copulae, acting on two variables at a time. We use the pair-copula decomposition of a general multivariate distribution and propose a method for performing inference. The model construction is hierarchical in nature, the various levels corresponding to the incorporation of more variables in the conditioning sets, using pair-copulae as simple building blocks. Pair-copula decomposed models also represent a very flexible way to construct higher-dimensional copulae. We apply the methodology to a financial data set. Our approach represents the first step towards the development of an unsupervised algorithm that explores the space of possible pair-copula models, that also can be applied to huge data sets automatically.

Selecting and estimating regular vine copulae and application to financial returns

Abstract: Regular vine distributions which constitute a flexible class of multivariate dependence models are discussed. Since multivariate copulae constructed through pair-copula decompositions were introduced to the statistical community, interest in these models has been growing steadily and they are finding successful applications in various fields. Research so far has however been concentrating on so-called canonical and D-vine copulae, which are more restrictive cases of regular vine copulae. It is shown how to evaluate the density of arbitrary regular vine specifications. This opens the vine copula methodology to the flexible modeling of complex dependencies even in larger dimensions. In this regard, a new automated model selection and estimation technique based on graph theoretical considerations is presented. This comprehensive search strategy is evaluated in a large simulation study and applied to a 16-dimensional financial data set of international equity, fixed income and commodity indices which were observed over the last decade, in particular during the recent financial crisis. The analysis provides economically well interpretable results and interesting insights into the dependence structure among these indices.

Predictive model assessment for count data.

Abstract: We discuss tools for the evaluation of probabilistic forecasts and the critique of statistical models for count data. Our proposals include a nonrandomized version of the probability integral transform, marginal calibration diagrams, and proper scoring rules, such as the predictive deviance. In case studies, we critique count regression models for patent data, and assess the predictive performance of Bayesian age-period-cohort models for larynx cancer counts in Germany. The toolbox applies in Bayesian or classical and parametric or nonparametric settings and to any type of ordered discrete outcomes.

Pair-Copula Constructions of Multivariate Copulas

Abstract: In this survey we introduce and discuss the pair-copula construction method to build flexible multivariate distributions. This class includes drawable (D), canonical (C) and regular vines developed in [5] and [4]. Estimation and model selection methods are studied both in a classical as well as in a Bayesian setting. This flexible class of multivariate copulas can be applied to model complex dependencies. Literature to applications in modeling financial data as well as Bayesian belief networks are provided. It closes with a section on open problems.

Projections of Global Mortality and Burden of Disease from 2002 to 2030

Abstract: Background Global and regional projections of mortality and burden of disease by cause for the years 2000, 2010, and 2030 were published by Murray and Lopez in 1996 as part of the Global Burden of Disease project. These projections, which are based on 1990 data, continue to be widely quoted, although they are substantially outdated; in particular, they substantially underestimated the spread of HIV/AIDS. To address the widespread demand for information on likely future trends in global health, and thereby to support international health policy and priority setting, we have prepared new projections of mortality and burden of disease to 2030 starting from World Health Organization estimates of mortality and burden of disease for 2002. This paper describes the methods, assumptions, input data, and results. Methods and Findings Relatively simple models were used to project future health trends under three scenarios—baseline, optimistic, and pessimistic—based largely on projections of economic and social development, and using the historically observed relationships of these with cause-specific mortality rates. Data inputs have been updated to take account of the greater availability of death registration data and the latest available projections for HIV/AIDS, income, human capital, tobacco smoking, body mass index, and other inputs. In all three scenarios there is a dramatic shift in the distribution of deaths from younger to older ages and from communicable, maternal, perinatal, and nutritional causes to noncommunicable disease causes. The risk of death for children younger than 5 y is projected to fall by nearly 50% in the baseline scenario between 2002 and 2030. The proportion of deaths due to noncommunicable disease is projected to rise from 59% in 2002 to 69% in 2030. Global HIV/AIDS deaths are projected to rise from 2.8 million in 2002 to 6.5 million in 2030 under the baseline scenario, which assumes coverage with antiretroviral drugs reaches 80% by 2012. Under the optimistic scenario, which also assumes increased prevention activity, HIV/AIDS deaths are projected to drop to 3.7 million in 2030. Total tobacco-attributable deaths are projected to rise from 5.4 million in 2005 to 6.4 million in 2015 and 8.3 million in 2030 under our baseline scenario. Tobacco is projected to kill 50% more people in 2015 than HIV/AIDS, and to be responsible for 10% of all deaths globally. The three leading causes of burden of disease in 2030 are projected to include HIV/AIDS, unipolar depressive disorders, and ischaemic heart disease in the baseline and pessimistic scenarios. Road traffic accidents are the fourth leading cause in the baseline scenario, and the third leading cause ahead of ischaemic heart disease in the optimistic scenario. Under the baseline scenario, HIV/AIDS becomes the leading cause of burden of disease in middle- and low-income countries by 2015. Conclusions These projections represent a set of three visions of the future for population health, based on certain explicit assumptions. Despite the wide uncertainty ranges around future projections, they enable us to appreciate better the implications for health and health policy of currently observed trends, and the likely impact of fairly certain future trends, such as the ageing of the population, the continued spread of HIV/AIDS in many regions, and the continuation of the epidemiological transition in developing countries. The results depend strongly on the assumption that future mortality trends in poor countries will have a relationship to economic and social development similar to those that have occurred in the higher-income countries.

Convergence of Probability Measures

Abstract: Convergence of Probability Measures. By P. Billingsley. Chichester, Sussex, Wiley, 1968. xii, 253 p. 9 1/4“. 117s.

Modern Applied Statistics With S

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Strictly Proper Scoring Rules, Prediction, and Estimation

Abstract: Scoring rules assess the quality of probabilistic forecasts, by assigning a numerical score based on the predictive distribution and on the event or value that materializes. A scoring rule is proper if the forecaster maximizes the expected score for an observation drawn from the distributionF if he or she issues the probabilistic forecast F, rather than G ≠ F. It is strictly proper if the maximum is unique. In prediction problems, proper scoring rules encourage the forecaster to make careful assessments and to be honest. In estimation problems, strictly proper scoring rules provide attractive loss and utility functions that can be tailored to the problem at hand. This article reviews and develops the theory of proper scoring rules on general probability spaces, and proposes and discusses examples thereof. Proper scoring rules derive from convex functions and relate to information measures, entropy functions, and Bregman divergences. In the case of categorical variables, we prove a rigorous version of the ...