1 citations · 2 across the 10 of their papers we have counts for
13 papers
Quantifying and estimating dependence via sensitivity of conditional distributions
Jonathan Ansari, Patrick B. Langthaler, Sebastian Fuchs +1
Recently established, directed dependence measures for pairs of random variables build upon the natural idea of comparing the conditional distributions of given w…
A novel positive dependence property and its impact on a popular class of concordance measures
Sebastian Fuchs, Marco Tschimpke
A novel positive dependence property is introduced, called positive measure inducing (PMI for short), being fulfilled by numerous copula classes, including Gaussian, Fréchet, Farli…
Total positivity of copulas from a Markov kernel perspective
Sebastian Fuchs, Marco Tschimpke
The underlying dependence structure between two random variables can be described in manifold ways. This includes the examination of certain dependence properties such as lower tai…
Quantifying directed dependence via dimension reduction
Sebastian Fuchs
Studying the multivariate extension of copula correlation yields a dimension reduction principle, which turns out to be strongly related with the `simple measure of conditional dep…
A copula transformation in multivariate mixed discrete-continuous models
Jae Youn Ahn, Sebastian Fuchs, Rosy Oh
Copulas allow a flexible and simultaneous modeling of complicated dependence structures together with various marginal distributions. Especially if the density function can be repr…
Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables
Sebastian Fuchs, F. Marta L. Di Lascio, Fabrizio Durante
A theoretical framework is presented for a (copula-based) notion of dissimilarity between continuous random vectors and its main properties are studied. The proposed dissimilarity…
On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation
Thimo M. Kasper, Sebastian Fuchs, Wolfgang Trutschnig
Looking at bivariate copulas from the perspective of conditional distributions and considering weak convergence of almost all conditional distributions yields the notion of weak co…
How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
Thomas Mroz, Sebastian Fuchs, Wolfgang Trutschnig
Motivated by the increasing popularity and the seemingly broad applicability of pair-copula constructions underlined by numerous publications in the last decade, in this contributi…
On Minimal Copulas under the Concordance Order
Jae Youn Ahn, Sebastian Fuchs
In the present paper, we study extreme negative dependence focussing on the concordance order for copulas. With the absence of a least element for dimensions 3, the set of a…
On Kendall's Tau for Order Statistics
Sebastian Fuchs, Klaus D. Schmidt
Every copula for a random vector with identically distributed coordinates determines a unique copula for its order statistic $ {\bf X}_…
On Quantile Risk Measures and Their Domain
Sebastian Fuchs, Ruben Schlotter, Klaus D. Schmidt
In the present paper we study quantile risk measures and their domain. Our starting point is that, for a probability measure on the open unit interval and a wide class $ \mat…
Estimators for a Class of Bivariate Measures of Concordance for Copulas
Sebastian Fuchs, Klaus D. Schmidt
In the present paper we propose and study estimators for a wide class of bivariate measures of concordance for copulas. These measures of concordance are generated by a copula and…
On distributions with fixed marginals maximizing the joint or the prior default probability, estimation, and related results
Thomas Mroz, Juan Fernández Sánchez, Sebastian Fuchs +1
We study the problem of maximizing the probability that (i) an electric component or financial institution does not default before another component or institution and (ii)…