On the length of copula level curves

DOI10.1016/j.jmva.2018.06.001zbMath1431.60015OpenAlexW2808037774MaRDI QIDQ1661365

Maximilian Coblenz, Wolfgang Trutschnig, Manuela Schreyer, Oliver Grothe

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

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

Related Items (1)

A link between Kendall's \(\tau\), the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support

Cites Work

• On a strong metric on the space of copulas and its induced dependence measure
• On multivariate extensions of value-at-risk
• Some results on the convergence of (quasi-) copulas
• Some approximations of \(n\)-copulas
• An introduction to copulas.
• Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and iterated function systems
• Sampling Archimedean copulas
• On nonparametric measures of dependence for random variables
• Strong approximation of copulas
• Geometric measure theory.
• Some results on shuffles of two-dimensional copulas
• Distortions of multivariate distribution functions and associated level curves: applications in multivariate risk theory
• Statistical Inference Procedures for Bivariate Archimedean Copulas
• Foundations of Modern Probability
• Variational Analysis
• Detecting Dependence With Kendall Plots
• Principles of Copula Theory
• Theory of Random Sets
• A Useful Convergence Theorem for Probability Distributions
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