Skip to main content

2017 | OriginalPaper | Buchkapitel

6. Fuzzy Empirical Copula for Estimating Data Dependence Structure

verfasst von : Honghai Liu, Zhaojie Ju, Xiaofei Ji, Chee Seng Chan, Mehdi Khoury

Erschienen in: Human Motion Sensing and Recognition

Verlag: Springer Berlin Heidelberg

Aktivieren Sie unsere intelligente Suche, um passende Fachinhalte oder Patente zu finden.

search-config
loading …

Abstract

Empirical copula is a non-parametric algorithm to estimate the dependence structure of high-dimensional arbitrarily distributed data. The computation of empirical copula is, however, very costly so that it cannot be implemented into applications at a realtime context. In this chapter, fuzzy empirical copula is proposed to reduce the computation time of dependence structure estimation. First, a brief introduction of empirical copula is provided. Next, a new version of Fuzzy Clustering by Local Approximation of Memberships (FLAME) is proposed to be integrated into empirical copula. The FLAME\(^+\) algorithm is implemented to identify the highest density objects which are used to represent the original dataset and then empirical copula is used to estimate its independence structure. Finally, two case studies have been carried out to demonstrate the effectiveness and efficiency of the fuzzy empirical copula.

Sie haben noch keine Lizenz? Dann Informieren Sie sich jetzt über unsere Produkte:

Springer Professional "Wirtschaft+Technik"

Online-Abonnement

Mit Springer Professional "Wirtschaft+Technik" erhalten Sie Zugriff auf:

  • über 102.000 Bücher
  • über 537 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Maschinenbau + Werkstoffe
  • Versicherung + Risiko

Jetzt Wissensvorsprung sichern!

Springer Professional "Technik"

Online-Abonnement

Mit Springer Professional "Technik" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 390 Zeitschriften

aus folgenden Fachgebieten:

  • Automobil + Motoren
  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Elektrotechnik + Elektronik
  • Energie + Nachhaltigkeit
  • Maschinenbau + Werkstoffe




 

Jetzt Wissensvorsprung sichern!

Springer Professional "Wirtschaft"

Online-Abonnement

Mit Springer Professional "Wirtschaft" erhalten Sie Zugriff auf:

  • über 67.000 Bücher
  • über 340 Zeitschriften

aus folgenden Fachgebieten:

  • Bauwesen + Immobilien
  • Business IT + Informatik
  • Finance + Banking
  • Management + Führung
  • Marketing + Vertrieb
  • Versicherung + Risiko




Jetzt Wissensvorsprung sichern!

Literatur
1.
Zurück zum Zitat A. Edmunds and A. Morris. The problem of information overload in business organisations: a review of the literature. International Journal of Information Management, 20(1):17–28, 2000.CrossRef A. Edmunds and A. Morris. The problem of information overload in business organisations: a review of the literature. International Journal of Information Management, 20(1):17–28, 2000.CrossRef
2.
Zurück zum Zitat K. Pearson. On lines and planes of closest fit to systems of points in space. Philosophical Magazine, 2(6):559–572, 1901.CrossRefMATH K. Pearson. On lines and planes of closest fit to systems of points in space. Philosophical Magazine, 2(6):559–572, 1901.CrossRefMATH
3.
Zurück zum Zitat K.V. Mardia, J.T. Kent, J.M. Bibby, et al. Multivariate analysis. Academic Press New York, 1979.MATH K.V. Mardia, J.T. Kent, J.M. Bibby, et al. Multivariate analysis. Academic Press New York, 1979.MATH
4.
Zurück zum Zitat J.H. Friedman, S.L.A. Center, and J.W. Tukey. A project pursuit algorithm for exploratory data analysis. The Collected Works of John W. Tukey: Graphics 1965-1985, 1988. J.H. Friedman, S.L.A. Center, and J.W. Tukey. A project pursuit algorithm for exploratory data analysis. The Collected Works of John W. Tukey: Graphics 1965-1985, 1988.
5.
Zurück zum Zitat P. Comon et al. Independent component analysis, a new concept. Signal Processing, 36(3):287–314, 1994.CrossRefMATH P. Comon et al. Independent component analysis, a new concept. Signal Processing, 36(3):287–314, 1994.CrossRefMATH
6.
Zurück zum Zitat J. Karhunen, P. Pajunen, and E. Oja. The nonlinear PCA criterion in blind source separation: Relations with other approaches. Neurocomputing, 22(1-3):5–20, 1998.CrossRefMATH J. Karhunen, P. Pajunen, and E. Oja. The nonlinear PCA criterion in blind source separation: Relations with other approaches. Neurocomputing, 22(1-3):5–20, 1998.CrossRefMATH
7.
8.
Zurück zum Zitat T. Kohonen. Self-Organizing Maps. Springer, 2001. T. Kohonen. Self-Organizing Maps. Springer, 2001.
9.
Zurück zum Zitat J. Karhunen. Nonlinear Independent Component Analysis. ICA: Principles and Practice, pages 113–134, 2001. J. Karhunen. Nonlinear Independent Component Analysis. ICA: Principles and Practice, pages 113–134, 2001.
10.
Zurück zum Zitat P. Demartines and J. Herault. Curvilinear component analysis: a self-organizing neural networkfor nonlinear mapping of data sets. IEEE Transactions on Neural Networks, 8(1):148–154, 1997.CrossRef P. Demartines and J. Herault. Curvilinear component analysis: a self-organizing neural networkfor nonlinear mapping of data sets. IEEE Transactions on Neural Networks, 8(1):148–154, 1997.CrossRef
11.
Zurück zum Zitat JA Hartigan and MA Wong. A K-means clustering algorithm. Journal of the Royal Statistical Society. Series C (Applied Statistics), 28:100–108, 1979.MATH JA Hartigan and MA Wong. A K-means clustering algorithm. Journal of the Royal Statistical Society. Series C (Applied Statistics), 28:100–108, 1979.MATH
12.
Zurück zum Zitat J. C. Dunn. A fuzzy relative of the ISODATA process and its use in detecting compact well-separated clusters. Cybernetics and Systems, 3(3):32–57, 1973.MathSciNetMATH J. C. Dunn. A fuzzy relative of the ISODATA process and its use in detecting compact well-separated clusters. Cybernetics and Systems, 3(3):32–57, 1973.MathSciNetMATH
13.
Zurück zum Zitat N. Belacel, P. Hansen, and N. Mladenovic. Fuzzy J-Means: a new heuristic for fuzzy clustering. Pattern Recognition, 35(10):2193–2200, 2002.CrossRefMATH N. Belacel, P. Hansen, and N. Mladenovic. Fuzzy J-Means: a new heuristic for fuzzy clustering. Pattern Recognition, 35(10):2193–2200, 2002.CrossRefMATH
14.
Zurück zum Zitat P. VUORIMAA. Fuzzy self-organizing map. Fuzzy Sets and Systems, 66(2):223–231, 1994. P. VUORIMAA. Fuzzy self-organizing map. Fuzzy Sets and Systems, 66(2):223–231, 1994.
15.
Zurück zum Zitat P. Tamayo, D. Slonim, J. Mesirov, Q. Zhu, S. Kitareewan, E. Dmitrovsky, E.S. Lander, and T.R. Golub. Interpreting patterns of gene expression with self-organizing maps: Methods and application to hematopoietic differentiation. Proceedings of the National Academy of Sciences, 96:2907–2912, 1999.CrossRef P. Tamayo, D. Slonim, J. Mesirov, Q. Zhu, S. Kitareewan, E. Dmitrovsky, E.S. Lander, and T.R. Golub. Interpreting patterns of gene expression with self-organizing maps: Methods and application to hematopoietic differentiation. Proceedings of the National Academy of Sciences, 96:2907–2912, 1999.CrossRef
16.
Zurück zum Zitat KY Yeung, C. Fraley, A. Murua, AE Raftery, and WL Ruzzo. Model-based clustering and data transformations for gene expression data. Bioinformatics, 17(10):977–987, 2001.CrossRef KY Yeung, C. Fraley, A. Murua, AE Raftery, and WL Ruzzo. Model-based clustering and data transformations for gene expression data. Bioinformatics, 17(10):977–987, 2001.CrossRef
17.
Zurück zum Zitat L. Fu and E. Medico. FLAME, a novel fuzzy clustering method for the analysis of DNA microarray data. BMC Bioinformatics, 8:3, 2007.CrossRef L. Fu and E. Medico. FLAME, a novel fuzzy clustering method for the analysis of DNA microarray data. BMC Bioinformatics, 8:3, 2007.CrossRef
18.
Zurück zum Zitat O. Scaillet and J.D. Fermanian. Nonparametric estimation of copulas for time series. FAME Research paper, -(57), 2002. O. Scaillet and J.D. Fermanian. Nonparametric estimation of copulas for time series. FAME Research paper, -(57), 2002.
19.
Zurück zum Zitat R.B. Nelsen. An introduction to copulas. Springer Verlag, 2006. R.B. Nelsen. An introduction to copulas. Springer Verlag, 2006.
20.
Zurück zum Zitat A. Sklar. Fonctions de répartition a n dimensions et leurs marges. Publ Inst Statist Univ Paris, 8:229–231, 1959.MathSciNetMATH A. Sklar. Fonctions de répartition a n dimensions et leurs marges. Publ Inst Statist Univ Paris, 8:229–231, 1959.MathSciNetMATH
21.
Zurück zum Zitat P. Deheuvels. La fonction de dépendance empirique et ses propriétés: Un test non paramétrique dindépendance. Bulletin de lAcadémie royale de Belgique: Classe des sciences, 65:274–292, 1979.MATH P. Deheuvels. La fonction de dépendance empirique et ses propriétés: Un test non paramétrique dindépendance. Bulletin de lAcadémie royale de Belgique: Classe des sciences, 65:274–292, 1979.MATH
22.
Zurück zum Zitat P. Deheuvels. A non parametric test for independence. Publ. Inst. Statist. Univ. Paris, 26(2):29–50, 1981.MATH P. Deheuvels. A non parametric test for independence. Publ. Inst. Statist. Univ. Paris, 26(2):29–50, 1981.MATH
23.
Zurück zum Zitat N. Kolev, U. Anjos, and B.V.M. Mendes. Copulas: A Review and Recent Developments. Stochastic Models, 22(4):617–660, 2006.MathSciNetCrossRefMATH N. Kolev, U. Anjos, and B.V.M. Mendes. Copulas: A Review and Recent Developments. Stochastic Models, 22(4):617–660, 2006.MathSciNetCrossRefMATH
24.
Zurück zum Zitat A. Dias and P. Embrechts. Dynamic copula models for multivariate high-frequency data in finance. Manuscript, ETH Zurich, 2004. A. Dias and P. Embrechts. Dynamic copula models for multivariate high-frequency data in finance. Manuscript, ETH Zurich, 2004.
25.
Zurück zum Zitat P. Embrechts, F. Lindskog, and A. McNeil. Modelling dependence with copulas and applications to risk management. Handbook of Heavy Tailed Distributions in Finance, 8:329–384, 2003.CrossRef P. Embrechts, F. Lindskog, and A. McNeil. Modelling dependence with copulas and applications to risk management. Handbook of Heavy Tailed Distributions in Finance, 8:329–384, 2003.CrossRef
26.
Zurück zum Zitat Harry Joe. Dependence modeling with copulas. CRC Press, 2014. Harry Joe. Dependence modeling with copulas. CRC Press, 2014.
27.
Zurück zum Zitat Dong Hwan Oh and Andrew J Patton. (in press) modelling dependence in high dimensions with factor copulas. Journal of Business & Economic Statistics, 2015. Dong Hwan Oh and Andrew J Patton. (in press) modelling dependence in high dimensions with factor copulas. Journal of Business & Economic Statistics, 2015.
28.
Zurück zum Zitat P.K. Trivedi and D.M. Zimmer. Copula Modeling: An Introduction for Practitioners. Foundations and Trends® in Econometrics, 1(1):1–111, 2006. P.K. Trivedi and D.M. Zimmer. Copula Modeling: An Introduction for Practitioners. Foundations and Trends® in Econometrics, 1(1):1–111, 2006.
29.
Zurück zum Zitat L. Hu. Dependence patterns across financial markets: a mixed copula approach. Applied Financial Economics, 16(10):717–729, 2006.CrossRef L. Hu. Dependence patterns across financial markets: a mixed copula approach. Applied Financial Economics, 16(10):717–729, 2006.CrossRef
30.
Zurück zum Zitat Kunlapath Sukcharoen, Tatevik Zohrabyan, David Leatham, and Ximing Wu. Interdependence of oil prices and stock market indices: A copula approach. Energy Economics, 44:331–339, 2014.CrossRef Kunlapath Sukcharoen, Tatevik Zohrabyan, David Leatham, and Ximing Wu. Interdependence of oil prices and stock market indices: A copula approach. Energy Economics, 44:331–339, 2014.CrossRef
31.
Zurück zum Zitat A. Kolesarova, R. Mesiar, J. Mordelova, and C. Sempi. Discrete Copulas. IEEE Transactions on Fuzzy Systems, 14(5):698–705, 2006.CrossRef A. Kolesarova, R. Mesiar, J. Mordelova, and C. Sempi. Discrete Copulas. IEEE Transactions on Fuzzy Systems, 14(5):698–705, 2006.CrossRef
32.
Zurück zum Zitat B. De Baets and H. De Meyer. Orthogonal Grid Constructions of Copulas. IEEE Transactions on Fuzzy Systems, 15(6):1053–1062, 2007.CrossRef B. De Baets and H. De Meyer. Orthogonal Grid Constructions of Copulas. IEEE Transactions on Fuzzy Systems, 15(6):1053–1062, 2007.CrossRef
33.
Zurück zum Zitat M.A.H. Dempster, E.A. Medova, and S.W. Yang. Empirical Copulas for CDO Tranche Pricing Using Relative Entropy. International Journal of Theoretical and Applied Finance, 10(4):679, 2007.CrossRefMATH M.A.H. Dempster, E.A. Medova, and S.W. Yang. Empirical Copulas for CDO Tranche Pricing Using Relative Entropy. International Journal of Theoretical and Applied Finance, 10(4):679, 2007.CrossRefMATH
35.
Zurück zum Zitat P.A. Morettin, C. Toloi, C. Chiann, and J. Miranda. Wavelet-smoothed empirical copula estimators. Brazilian Review of Finance, 8(3):263–281, 2010. P.A. Morettin, C. Toloi, C. Chiann, and J. Miranda. Wavelet-smoothed empirical copula estimators. Brazilian Review of Finance, 8(3):263–281, 2010.
36.
38.
Zurück zum Zitat W.J. Nash, T.L. Sellers, S.R. Talbot, A.J. Cawthorn, and W.B. Ford. The population biology of abalone (Haliotis species) in Tasmania. I. Blacklip abalone (H. rubra) from the north coast and the Furneaux group of islands. Sea Fisheries Division Technical Report, 48:1–69, 1994. W.J. Nash, T.L. Sellers, S.R. Talbot, A.J. Cawthorn, and W.B. Ford. The population biology of abalone (Haliotis species) in Tasmania. I. Blacklip abalone (H. rubra) from the north coast and the Furneaux group of islands. Sea Fisheries Division Technical Report, 48:1–69, 1994.
39.
Zurück zum Zitat P. Horton and K. Nakai. A probabilistic classification system for predicting the cellular localization sites of proteins. In Ismb, volume 4, pages 109–115, 1996. P. Horton and K. Nakai. A probabilistic classification system for predicting the cellular localization sites of proteins. In Ismb, volume 4, pages 109–115, 1996.
40.
Zurück zum Zitat A. Asuncion and D.J. Newman. UCI machine learning repository, 2007. A. Asuncion and D.J. Newman. UCI machine learning repository, 2007.
41.
Zurück zum Zitat H. Liu. A fuzzy qualitative framework for connecting robot qualitative and quantitative representations. IEEE Transactions on Fuzzy Systems, 16(6):1522–1530, 2008.CrossRef H. Liu. A fuzzy qualitative framework for connecting robot qualitative and quantitative representations. IEEE Transactions on Fuzzy Systems, 16(6):1522–1530, 2008.CrossRef
42.
Zurück zum Zitat H. Liu, D.J. Brown, and G.M. Coghill. Fuzzy qualitative robot kinematics. IEEE Transactions on Fuzzy Systems, 16(3):802–822, 2008. H. Liu, D.J. Brown, and G.M. Coghill. Fuzzy qualitative robot kinematics. IEEE Transactions on Fuzzy Systems, 16(3):802–822, 2008.
43.
Zurück zum Zitat Z. Ju, H. Liu, X. Zhu, and Y. Xiong. Dynamic Grasp Recognition Using Time Clustering, Gaussian Mixture Models and Hidden Markov Models. Journal of Advanced Robotics, 23:1359–1371, 2009.CrossRef Z. Ju, H. Liu, X. Zhu, and Y. Xiong. Dynamic Grasp Recognition Using Time Clustering, Gaussian Mixture Models and Hidden Markov Models. Journal of Advanced Robotics, 23:1359–1371, 2009.CrossRef
Metadaten
Titel
Fuzzy Empirical Copula for Estimating Data Dependence Structure
verfasst von
Honghai Liu
Zhaojie Ju
Xiaofei Ji
Chee Seng Chan
Mehdi Khoury
Copyright-Jahr
2017
Verlag
Springer Berlin Heidelberg
DOI
https://doi.org/10.1007/978-3-662-53692-6_6