On the length of copula level curves

DOI10.1016/J.JMVA.2018.06.001zbMATH Open1431.60015OpenAlexW2808037774MaRDI QIDQ1661365FDOQ1661365

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

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zbMATH Keywords

copulasmeasure of associationcomplete dependencelevel curves

Mathematics Subject Classification ID

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

Cites Work

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• Variational Analysis
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• Foundations of Modern Probability
• Detecting dependence with Kendall plots
• Theory of Random Sets
• Some approximations of \(n\)-copulas
• Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
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• A Useful Convergence Theorem for Probability Distributions
• Geometric measure theory.
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• On multivariate extensions of value-at-risk
• Some results on shuffles of two-dimensional copulas
• Some results on the convergence of (quasi-) copulas
• Sampling Archimedean copulas
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• Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
• Title not available (Why is that?)

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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