On a strong metric on the space of copulas and its induced dependence measure

DOI10.1016/J.JMAA.2011.06.013zbMATH Open1252.46019OpenAlexW2057786874MaRDI QIDQ85345FDOQ85345

Wolfgang Trutschnig, Wolfgang Trutschnig

Publication date: December 2011

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmaa.2011.06.013

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scientific article; zbMATH DE number 3942106

zbMATH Keywords

copula doubly stochastic measure independence iterated function system Markov operator

Mathematics Subject Classification ID

Spaces of measures (46E27) Markov semigroups and applications to diffusion processes (47D07) Markov processes (60J99)

Cites Work

Cited In (71)

Dependence measuring from conditional variances
Maximum asymmetry of copulas revisited
On some properties of reflected maxmin copulas
Some members of the class of (quasi-)copulas with given diagonal from the Markov kernel perspective
Stochastic monotonicity and the Markov product for copulas
Sklar's theorem, copula products, and ordering results in factor models
Robust quantile estimation under bivariate extreme value models
On a multivariate copula-based dependence measure and its estimation
Title not available (Why is that?)
A Markov product for tail dependence functions
Copulas with continuous, strictly increasing singular conditional distribution functions
Shuffles of copulas and a new measure of dependence
Non-atomic bivariate copulas and implicitly dependent random variables
Global sensitivity analysis: a novel generation of mighty estimators based on rank statistics
A Note on the Compatibility of Bivariate Copulas
Measure of complete dependence of random vectors
Some Smoothing Properties of the Star Product of Copulas
New transformations of aggregation functions based on monotone systems of functions
Measure of asymmetric association for ordinal contingency tables via the bilinear extension copula
On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation
Copulas and Self-affine Functions
On the approximation of copulas via shuffles of Min
On extremal problems for pairs of uniformly distributed sequences and integrals with respect to copula measures
Univariate conditioning of vine copulas
Measures of the functional dependence of random vectors
Markov product invariance in classes of bivariate copulas characterized by univariate functions
A metric space of subcopulas -- an approach via Hausdorff distance
Some properties of double shuffles of bivariate copulas and (extreme) copulas invariant with respect to Lüroth double shuffles
On the measure induced by copulas that are invariant under univariate truncation
On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
On the length of copula level curves
On Copula-Itô processes
On metric spaces of subcopulas
Ordinal sums: from triangular norms to bi- and multivariate copulas
qad
Estimating scale-invariant directed dependence of bivariate distributions
Covar of families of copulas
Maximal asymmetry of bivariate copulas and consequences to measures of dependence
Rearranged dependence measures
Multivariate copulas with hairpin support
Ordering risk bounds in factor models
Singularity aspects of Archimedean copulas
Convergence results for patchwork copulas
On the copula correlation ratio and its generalization
Baire category results for exchangeable copulas
Central limit theorem for subcopulas under the Manhattan distance
Copulae, self-affine functions, and fractal dimensions
Spatially homogeneous copulas
On convergence of associative copulas and related results
Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
On a distribution form of subcopulas
Some results on homeomorphisms between fractal supports of copulas
A typical copula is singular
Idempotent and multivariate copulas with fractal support
A link between Kendall's \(\tau\), the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support
Characterization of pre-idempotent copulas
The topological structures of the spaces of copulas and subcopulas
Title not available (Why is that?)
Dependence properties of bivariate copula families
On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform
Copulas related to piecewise monotone functions of the interval and associated processes
On convergence and singularity of conditional copulas of multivariate Archimedean copulas, and conditional dependence
Quantifying directed dependence via dimension reduction
Supermodular and directionally convex comparison results for general factor models
Several algorithms for constructing copulas via \(\ast\)-product decompositions
Extremality of factorizable copulas and implicit dependence copulas
A concept of copula robustness and its applications in quantitative risk management
Measuring association with Wasserstein distances
Revisiting the region determined by Spearman's \(\rho\) and Spearman's footrule \(\phi\)
On the exact region determined by Spearman's \(\rho\) and Blest's measure of rank correlation \(\nu\) for bivariate extreme-value copulas
Sobolev Convergence of Empirical Bernstein Copulas

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