242 citations · 778 across the 62 of their papers we have counts for
3 papers · 1 filter
Measuring Association between Random Vectors
Oliver Grothe, Friedrich Schmid, Julius Schnieders +1
This paper suggests five measures of association between two random vectors X = (X_1, ..., X_p) and Y = (Y_1, ..., Y_q). They are copula based and therefore invariant with respect…
Nonparametric estimation of multivariate extreme-value copulas
Gordon Gudendorf, Johan Segers
Extreme-value copulas arise in the asymptotic theory for componentwise maxima of independent random samples. An extreme-value copula is determined by its Pickands dependence functi…
Large-sample tests of extreme-value dependence for multivariate copulas
Ivan Kojadinovic, Johan Segers, Jun Yan
Starting from the characterization of extreme-value copulas based on max-stability, large-sample tests of extreme-value dependence for multivariate copulas are studied. The two key…