3 papers
math.PR2018
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}_…
math.PR2017
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…
math.ST2017
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…