2 papers
math.ST2020
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…
math.ST2018
A sharp inequality for Kendall's and Spearman's of Extreme-Value Copulas
Thomas Mroz, Wolfgang Trutschnig
We derive a new (lower) inequality between Kendall's tau? and Spearman's rho? for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclu…