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08/11/2023
Quantifying and estimating dependence via sensitivity of conditional distributions
Recently established, directed dependence measures for pairs (X,Y) of ra...
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03/27/2023
A link between Kendall's tau, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support
Working with shuffles we establish a close link between Kendall's tau, t...
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10/21/2022
On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform
Motivated by a recently established result saying that within the class ...
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09/27/2021
On a multivariate copula-based dependence measure and its estimation
Working with so-called linkages allows to define a copula-based, [0,1]-v...
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06/12/2020
On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation
Looking at bivariate copulas from the perspective of conditional distrib...
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06/11/2020
How simplifying and flexible is the simplifying assumption in pair-copula constructions – some analytic answers in dimension three and beyond
Motivated by the increasing popularity and the seemingly broad applicabi...
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02/01/2019
A copula-based measure for quantifying asymmetry in dependence and associations
Asymmetry is an inherent property of bivariate associations and therefor...
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11/06/2018
A sharp inequality for Kendall's τ and Spearman's ρ of Extreme-Value Copulas
We derive a new (lower) inequality between Kendall's tau? and Spearman's...
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01/23/2018