Open Access Published since October 21, 2013

Dependence Modeling

ISSN: 2300-2298

Edited by: Giovanni Puccetti

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About this journal

Special Issue:

Dependence Modeling is an Open Access fully peer-reviewed journal aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling.

Dependence Modeling was awarded the DOAJ Seal, an award for journals that demonstrate best practices in open access publishing.

Journals with the Seal adhere to outstanding best practices. They meet all requirements that DOAJ has chosen specifically as indicators of an extra high and clear commitment to open access best practices, extra high levels of commitment to publishing technologies, and the most 'open' form of open access.

To submit a paper please go to the section "Submission of manuscripts" below.
Flyer and Editorial Board

The journal presents different types of articles:

"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields.
"Review Articles" which present the existing literature on the specific topic from new perspectives.
"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling.

The journal topics include (but are not limited to):　

Copula methods
Multivariate distributions
Estimation and goodness-of-fit tests
Measures of association
Quantitative risk management
Risk measures and stochastic orders
Time series
Environmental sciences
Computational methods and software
Extreme-value theory
Limit laws
Mass Transportations

Your Benefits

Why subscribe and read:

premier source of high quality research in a growing topic
international forum for the dissemination of research, designed to facilitate the exchange of ideas between theoretical and applied researchers from different countries

Why submit:

The peer-review process is streamlined, and papers are published quickly after acceptance.
High quality peer-review processing through Editorial Manager®.
Each paper is reviewed by at least two specialists in the field.
All articles are available to anyone interested in it, regardless of affiliation with a subscribing library. As a consequence, you will have immediate dissemination of your work.
Secure archiving by De Gruyter and the independent archiving service Portico.
Authors retain copyrights (CC-BY license).
Promotion of published papers to readers and citers.

The articles are subject to the Article Processing Charge (APC) of 1000 Euro. We are offering FULL WAIVERS or DISCOUNTS for authors with limited access to funds.
There are no submission charges – Article Processing Charges apply after the acceptance of a manuscript.
Inquiries concerning APCs should be addressed before or immediately after submission of a paper to the Editorial Office.

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Supplementary Materials

Topics

External Links

Volume 11 Issue 1

January 2023

Research Articles

Open Access January 11, 2023

Joint lifetime modeling with matrix distributions

Hansjörg Albrecher, Martin Bladt, Alaric J. A. Müller

Article number: 20220153

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Abstract

Acyclic phase-type (PH) distributions have been a popular tool in survival analysis, thanks to their natural interpretation in terms of aging toward its inevitable absorption. In this article, we consider an extension to the bivariate setting for the modeling of joint lifetimes. In contrast to previous models in the literature that were based on a separate estimation of the marginal behavior and the dependence structure through a copula, we propose a new time-inhomogeneous version of a multivariate PH (mIPH) class that leads to a model for joint lifetimes without that separation. We study properties of mIPH class members and provide an adapted estimation procedure that allows for right-censoring and covariate information. We show that initial distribution vectors in our construction can be tailored to reflect the dependence of the random variables and use multinomial regression to determine the influence of covariates on starting probabilities. Moreover, we highlight the flexibility and parsimony, in terms of needed phases, introduced by the time inhomogeneity. Numerical illustrations are given for the data set of joint lifetimes of Frees et al., where 10 phases turn out to be sufficient for a reasonable fitting performance. As a by-product, the proposed approach enables a natural causal interpretation of the association in the aging mechanism of joint lifetimes that goes beyond a statistical fit.

Open Access March 9, 2023

Consistency of mixture models with a prior on the number of components

Jeffrey W. Miller

Article number: 20220150

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Abstract

This article establishes general conditions for posterior consistency of Bayesian finite mixture models with a prior on the number of components. That is, we provide sufficient conditions under which the posterior concentrates on neighborhoods of the true parameter values when the data are generated from a finite mixture over the assumed family of component distributions. Specifically, we establish almost sure consistency for the number of components, the mixture weights, and the component parameters, up to a permutation of the component labels. The approach taken here is based on Doob’s theorem, which has the advantage of holding under extraordinarily general conditions, and the disadvantage of only guaranteeing consistency at a set of parameter values that has probability one under the prior. However, we show that in fact, for commonly used choices of prior, this yields consistency at Lebesgue-almost all parameter values, which is satisfactory for most practical purposes. We aim to formulate the results in a way that maximizes clarity, generality, and ease of use.

Review Article

Open Access February 21, 2023

Testing for explosive bubbles: a review

Anton Skrobotov

Article number: 20220152

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Abstract

This review discusses methods of testing for explosive bubbles in time series. A large number of recently developed testing methods under various assumptions about innovation of errors are covered. The review also considers the methods for dating explosive (bubble) regimes. Special attention is devoted to time-varying volatility in the errors. Moreover, the modelling of possible relationships between time series with explosive regimes is discussed.

Interview

Open Access March 14, 2023

When copulas and smoothing met: An interview with Irène Gijbels

Christian Genest, Matthias Scherer

Article number: 20220154

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Cite Score	1.2
Journal Citation Indicator	0.29
Mathematical Citation Quotient	0.24
SCImago Journal Rank	0.438
Source Normalized Impact per Paper	0.817

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ELECTRONIC SUBMISSION

For submissions we accept exclusively PDF files. The manuscripts must be prepared in one of the following formats: LaTeX, AMSTeX, AMSLaTeX.
All submissions to DEMO must be made electronically via Editorial Manager - an online submission and peer review system at http://www.editorialmanager.com/depmod/.

First-time users must create an Author account to obtain a user ID and password required to enter the system. All manuscripts receive individual identification codes that should be used in any correspondence with regard to the publication process. For the authors already registered in Editorial Manager it is enough to enter their username, password and to log in as author ("Author Login" button). If you experience difficulties with the manuscript submission website, you can send the pdf of your article directly to demo.editorial@degruyter.com.

All authors of the manuscript are responsible for its content; they must have agreed to its publication and have given the corresponding author the authority to act on their behalf in all matters pertaining to publication. The corresponding author is responsible for informing the coauthors of the manuscript status throughout the submission, review, and production process.

PEER-REVIEW PROCESS
The journal uses a closed single-blind peer review system (the names of the reviewers are hidden from the authors). Submitted manuscripts are reviewed by two or more experts. Reviewers are asked to recommend whether a manuscript should be accepted, revised or rejected. Although the journal uses the plagiarism detection system CrossCheck, reviewers should alert the editors if they suspect any issues relating to author misconduct such as plagiarism.

Reviewers are asked to provide detailed, constructive comments that will help both the editors make a decision on the publication and the author(s) to improve their manuscript. They should point out whether the work has serious flaws that preclude its publication, or whether additional experiments should be carried out or additional data should be collected to support the conclusions drawn.

FINAL SUBMISSION

If your article has been accepted for publication, before sending the final LaTeX/AMSTeX,/AMSLaTeX file of your paper the corresponding author should:

check and update the references where possible (preprint and working paper which have been accepted during the revision process) and make sure the bibliography is contained in the TeX/LaTeX file (i.e. without reference to any external .bib file). References should be listed alphabetically and Journal names should be written in abbreviated from according to Mathematical Reviews Serials Abbreviations, see http://www.ams.org/msnhtml/serials.pdf. For in-press references or preprint we suggest to indicate a web address where to download the paper or a DOI number if available. Provide the graphical elements accompanying the manuscript (figures, pictures, etc.) as separate files in .eps or .pdf format.
check that the paper includes abstract, keywords (separated by commas), the AMS Mathematics Subject Classification number(s) (http://www.ams.org/mathscinet/msc/) and (at least) the email address of the corresponding author.
put Acknowledgments as a separate section at the end of the manuscript
restrict the use of footnotes (when possible put them in the text).
make sure that your manuscript is clearly and grammatically written in English.

SUBMISSION OF REVISED ARTICLES

When a major revision of a manuscript is suggested, authors are expected to deliver the revised version of the manuscript within 3 months (1 month in the case a minor revision is suggested). Along with the major/minor revision the authors should also provide a point by point explanation of how the issued raised by the referees have been handled and a brief evaluation of each report received on the paper. The manuscript should be uploaded directly to the Editorial Manager as an answer to the Journal Editor's decision (and not as a new manuscript). If the above mentioned deadlines are not met, the manuscript will be treated as a new submission.

Copyright: All authors retain copyright, unless – due to their local circumstances – their work is not copyrighted. The copyrights are governed by the Creative-Commons Attribution Only license (CC-BY) which is compliant with Plan-S. We may also publish a paper under CC-BY-NC-ND license on author's request. The corresponding author grants the journal license for use of the article, by signing the License To Publish. Scanned copy of license should be sent to the journal, as soon as possible.

Editorial

Editor-in-Chief
Giovanni Puccetti, Università degli Studi di Milano, Italy　

Associate Editors
Fabrizio Durante, Università del Salento, Italy
Matthias Scherer, Technische Universität München, Germany
Steven Vanduffel, Vrije Universiteit Brussel, Belgium

Honorary Board Members:
Roger Cooke, Resources for the Future, USA
Claudia Czado, Technische Universität München, Germany
Paul Embrechts, ETH Zürich, Switzerland
Edward (Jed) Frees, University of Wisconsin-Madison, USA & Australian National University,
Australia
Christian Genest, McGill University, Canada
Harry Joe, University of British Columbia, Canada
Roger Nelsen, Lewis & Clark College, USA
Ludger Rüschendorf, Albert-Ludwigs-Universität Freiburg, Germany
Carlo Sempi, Università del Salento, Italy

Editorial Advisory Board Members:
Beatrice Acciaio, ETH Zürich, Switzerland
Concepcion Ausin, Universidad Carlos III de Madrid, Spain
Carole Bernard, Vrije Universiteit Brussel, Belgium & Grenoble EM, France
Corina Constantinescu, University of Liverpool, UK
Elena di Bernardino, Université Côte d'Azur, France
Sebastian Engelke, Université de Genève, Switzerland
Jean-David Fermanian, ENSAE Paris, France
Juan Fernández-Sánchez, Universidad de Almería, Spain
Sebastian Fuchs, Universität Salzburg, Austria
Stéphane Girard, Inria Grenoble Rhône-Alpes, France
Ingrid Hobæk Haff, University of Oslo, Norway
Enkelejd Hashorva, Université de Lausanne, Switzerland
Taizhong Hu, University of Science and Technology of China
Lei Hua, Northern Illinois University, USA
Piotr Jaworski, Uniwersytet Warszawski, Poland
Shogo Kato, The Institute of Statistical Mathematics, Japan
Nadja Klein, Humboldt-Universität zu Berlin, Germany
Pavel Krupskiy, University of Melbourne, Australia
Dorota Kurowicka, TU Delft, Netherlands
Woojoo Lee, Seoul National University, Republic of Korea
Jan-Frederik Mai, XAIA Investment, Germany
Mélina Mailhot, Concordia University, Canada
Giampiero Marra, University College London, UK
Ostap Okhrin, Technische Universität Dresden, Germany
Artem Prokhorov, The University of Sydney Business School, Australia
Jean-Francois Quessy, Université du Québec à Trois-Rivières, Canada
Peng Shi, University of Wisconsin-Madison, USA
Wolfgang Trutschnig, Universität Salzburg, Austria
Emiliano Valdez, University of Connecticut, USA
Ruodu Wang, University of Waterloo, Canada
Johannes Wiesel, Columbia University, USA

Assistant Editor
Andrew Chernih, University of New South Wales, Australia

Publisher
DE GRUYTER Poland
Bogumiła Zuga 32A Str.
01-811 Warsaw, Poland
T: +48 22 701 50 15

Editorial Contact
Giovanni Puccetti
demo.editorial@degruyter.com

(Deutsch)

Type: Journal
Language: English
Publisher: De Gruyter Open Access
First published: October 21, 2013
Publication Frequency: 1 Issue per Year
Audience: researchers in the field of multivariate dependence modeling