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math.ST2026
Measuring multivariate maximal tail dependence
Takaaki Koike, Marius Hofert, Haruki Tsunekawa
The classical tail dependence coefficient (TDC) may fail to capture non-exchangeable features of bivariate tail dependence since it evaluates the underlying copula only along the d…
math.ST2024
Invariant correlation under marginal transforms
Takaaki Koike, Liyuan Lin, Ruodu Wang
A useful property of independent samples is that their correlation remains the same after applying marginal transforms. This invariance property plays a fundamental role in statist…