Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
From MaRDI portal
Publication:904699
DOI10.1007/s10959-014-0541-4zbMath1329.62269OpenAlexW1964289194MaRDI QIDQ904699
Wolfgang Trutschnig, Juan Fernández-Sánchez
Publication date: 13 January 2016
Published in: Journal of Theoretical Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10959-014-0541-4
Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05) Fractals (28A80)
Related Items
On quantile based co-risk measures and their estimation, On a multivariate copula-based dependence measure and its estimation, Baire category results for quasi-copulas, Maximum asymmetry of copulas revisited, Covar of families of copulas, On the length of copula level curves, Extensions of subcopulas, Maximal asymmetry of bivariate copulas and consequences to measures of dependence, On the lower bound of Spearman's footrule, A concept of copula robustness and its applications in quantitative risk management, Some properties of double shuffles of bivariate copulas and (extreme) copulas invariant with respect to Lüroth double shuffles, A link between Kendall's \(\tau\), the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support, Quantifying directed dependence via dimension reduction, On weak conditional convergence of bivariate Archimedean and extreme value copulas, and consequences to nonparametric estimation, Mass distributions of two-dimensional extreme-value copulas and related results, Estimating scale-invariant directed dependence of bivariate distributions, Extremal dependence concepts, A metric space of subcopulas -- an approach via Hausdorff distance, How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond, On metric spaces of subcopulas, Spatially homogeneous copulas, Copula-based Markov process, On convergence of associative copulas and related results, On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On a strong metric on the space of copulas and its induced dependence measure
- Large sample behavior of the Bernstein copula estimator
- Some results on the convergence of (quasi-) copulas
- On the approximation of copulas via shuffles of Min
- Idempotent and multivariate copulas with fractal support
- Some approximations of \(n\)-copulas
- Multivariate shuffles and approximation of copulas
- An introduction to copulas.
- Characterization of the sendograph-convergence of fuzzy sets by means of their \(L_p\)- and levelwise convergence
- Shuffles of copulas
- Copulas and Markov processes
- Strong approximation of copulas
- On Fréchet theorem in the set of measure preserving functions over the unit interval
- Multivariate measures of concordance
- Copulas with fractal supports
- Markov operators and n-copulas
- Asymptotic Statistics
- Foundations of Modern Probability
- Real Analysis and Probability
- Convex and Discrete Geometry
- Plug-in estimation of level sets in a non-compact setting with applications in multivariate risk theory
- Theory of Random Sets
- Correlation and Complete Dependence of Random Variables
- Probability theory. A comprehensive course
- Measure and integration theory
- A basic course in probability theory
- Chaos and chance. An introduction to stochastic aspects of dynamics
