3 papers
stat.ME2026
SL-vine and -vine copula models
Tanabodee Monggon, Songkiat Sumetkijakan, Tippawan Santiwipanont +1
Traditional multivariate copulas often fail to capture complex dependence structures and may impose restrictive assumptions that limit their applicability to real-world data. To ad…
math.ST2026
Tau-Rho Equality and Other Dependence Measures of a Subclass of Factorizable Copulas
Noppawit Yanpaisan, Tippawan Santiwipanont, Matthias Scherer +1
Kendall's tau and Spearman's rho, two widely used dependence measures in statistics and risk management, are often treated as interchangeable, yet can disagree sharply: Schreyer et…
math.ST2012
Shuffles of copulas and a new measure of dependence
Pongpol Ruankong, Tippawan Santiwipanont, Songkiat Sumetkijakan
Using a characterization of Mutual Complete Dependence copulas, we show that, with respect to the Sobolev norm, the MCD copulas can be approximated arbitrarily closed by shuffles o…