On the length of copula level curves

DOI10.1016/J.JMVA.2018.06.001MaRDI QIDQ1661365zbMATH OpenOpenAlexFDO

Authors Maximilian Coblenz, Oliver Grothe, Manuela Schreyer, Wolfgang Trutschnig

Publication date 16 August 2018

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jmva.2018.06.001

zbMATH Keywords

copulasmeasure of associationcomplete dependencelevel curves

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited in

(3)

• A link between Kendall's \(\tau\), the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support
• Curved splicing of copulas
• Cutting levels of the winning probability relation of random variables pairwisely coupled by a same Frank copula

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