7 citations · 15 across the 8 of their papers we have counts for
9 papers
Multivariate tail dependence and local stochastic dominance
Karl Friedrich Siburg, Christopher Strothmann
Given two multivariate copulas with corresponding tail dependence functions, we investigate the relation between a natural tail dependence ordering and the order $\leq…
Comparing and quantifying tail dependence
Karl Friedrich Siburg, Christopher Strothmann, Gregor Weiß
We introduce a new stochastic order for the tail dependence between random variables. We then study different measures of tail dependence which are monotone in the proposed order,…
Rearranged dependence measures
Christopher Strothmann, Holger Dette, Karl Friedrich Siburg
Most of the popular dependence measures for two random variables and (such as Pearson's and Spearman's correlation, Kendall's and Gini's ) vanish whenever and $Y…
Stochastic monotonicity and the Markov product for copulas
Karl Friedrich Siburg, Christopher Strothmann
Given two random variables and , stochastic monotonicity describes a monotone influence of on . We prove two different characterizations of stochastically monotone $2…
A Markov product for tail dependence functions
Karl Friedrich Siburg, Christopher Strothmann
We introduce a Markov product structure for multivariate tail dependence functions, building upon the well-known Markov product for copulas. We investigate algebraic and monotonici…
Minimizing length of billiard trajectories in hyperbolic polygons
John R. Parker, Norbert Peyerimhoff, Karl Friedrich Siburg
Closed billiard trajectories in a polygon in the hyperbolic plane can be coded by the order in which they hit the sides of the polygon. In this paper, we consider the average lengt…