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

DOI10.1515/demo-2023-0105arXiv2303.15328MaRDI QIDQ6143884

Wolfgang Trutschnig, Juan Fernández-Sánchez

Publication date: 24 January 2024

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.15328

zbMATH Keywords

copulaasymmetryexchangeabilityMarkov kerneldependence measure

Mathematics Subject Classification ID

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

Cites Work

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• Copulas with fractal supports
• Convex and Discrete Geometry
• On the Exact Region Determined by Kendall's τ and Spearman's ρ
• Wahrscheinlichkeitstheorie

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