research
∙
08/11/2023
Quantifying and estimating dependence via sensitivity of conditional distributions
Recently established, directed dependence measures for pairs (X,Y) of ra...
share
research
∙
06/16/2023
A novel positive dependence property and its impact on a popular class of concordance measures
A novel positive dependence property is introduced, called positive meas...
research
∙
12/03/2022
A simple extension of Azadkia & Chatterjee's rank correlation to a vector of endogenous variables
In the present paper, we propose a direct and simple extension of Azadki...
research
∙
05/04/2022
Total positivity of copulas from a Markov kernel perspective
The underlying dependence structure between two random variables can be ...
research
∙
12/19/2021
A bivariate copula capturing the dependence of a random variable and a random vector, its estimation and applications
We define a bivariate copula that captures the scale-invariant extent of...
research
∙
08/27/2020
A copula transformation in multivariate mixed discrete-continuous models
Copulas allow a flexible and simultaneous modeling of complicated depend...
research
∙
07/09/2020
Dissimilarity functions for rank-based hierarchical clustering of continuous variables
We present a theoretical framework for a (copula-based) notion of dissim...
research
∙
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...
research
∙
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...
research
∙
09/17/2018
On Minimal Copulas under the Concordance Order
In the present paper, we study extreme negative dependence focussing on ...
research
∙
09/17/2018