2 citations · 8 across the 11 of their papers we have counts for
13 papers
Couplings with prescribed maxima: A short proof of the quasi-copula characterization
Jonathan Ansari
We provide a short probabilistic proof of the classical characterization of multivariate quasi-copulas, addressing the call for a simpler and more transparent proof expressed by Se…
Copulas farthest from independence in quadratic Wasserstein distance
Jonathan Ansari
Let denote the independence copula and the upper and lower Fréchet--Hoeffding copulas. Catalano and Lavenant (2025) conjectured that and maximize the quadratic Wa…
The exact region determined by Spearman's rho and Gini's gamma
Jonathan Ansari, Marcus Rockel, Stefanie Steinmaßl
We determine the exact attainable region of Spearman's rho and Gini's gamma over all bivariate copulas, resolving the remaining pairwise exact-region problem among Spearman's rho,…
The exact Spearman rho-footrule region via optimal transport with applications to finite rankings, mixability, and Chatterjee's rank correlation
Jonathan Ansari, Marcus Rockel
We solve the open problem of determining the maximal value of Spearman's rho when Spearman's footrule is prescribed, thereby completing the exact attainable region of these two qua…
Dependence Measures via Adapted Optimal Transport: Stability and Rates of Convergence
Jonathan Ansari, Johannes Wiesel
Recently studied dependence measures, such as Chatterjee's rank correlation, that characterize both independence and perfect functional dependence, provide a powerful framework for…
On a copula product characterizing independence and perfect functional dependence
Jonathan Ansari
Recently studied dependence measures take values in [0,1], where 0 characterizes independence of X and Y, and 1 characterizes perfect functional (not necessarily monotone) dependen…
The exact region and an inequality between Chatterjee's and Spearman's rank correlations
Jonathan Ansari, Marcus Rockel
The rank correlation ξ(X,Y), recently established by Sourav Chatterjee and already popular in the statistics literature, takes values in [0,1], where 0 characterizes independence o…
Comparison results for positive supermodular dependent Markov tree distributions
Jonathan Ansari, Moritz Ritter
Positive dependencies have been compared in the literature under rather strong assumptions such as equality of conditional distributions, exchangeability, or stationarity. We estab…
Dependence properties of bivariate copula families
Jonathan Ansari, Marcus Rockel
Motivated by recently investigated results on dependence measures and robust risk models, this paper provides an overview of dependence properties of many well-known bivariate copu…
Quantifying and estimating dependence via sensitivity of conditional distributions
Jonathan Ansari, Patrick B. Langthaler, Sebastian Fuchs +1
Recently established, directed dependence measures for pairs of random variables build upon the natural idea of comparing the conditional distributions of given w…
A direct extension of Azadkia & Chatterjee's rank correlation to multi-response vectors
Jonathan Ansari, Sebastian Fuchs
Recently, Chatterjee (2023) recognized the lack of a direct generalization of his rank correlation in Azadkia and Chatterjee (2021) to a multi-dimensional response vector. As a…
Improved Robust Price Bounds for Multi-Asset Derivatives under Market-Implied Dependence Information
Jonathan Ansari, Eva Lütkebohmert, Ariel Neufeld +1
We show how inter-asset dependence information derived from market prices of options can lead to improved model-free price bounds for multi-asset derivatives. Depending on the type…
On a version of a multivariate integration by parts formula for Lebesgue integrals
Jonathan Ansari
Multidimensional integration by parts formulas apply under the standard assumption that one of the functions is continuous and the other has bounded Hardy-Krause variation. Motivat…