5 papers · 1 filter
On differentiability and mass distributions of typical bivariate copulas
Nicolas Dietrich, Wolfgang Trutschnig
Despite the fact that copulas are commonly considered as analytically smooth/regular objects, derivatives of copulas have to be handled with care. Triggered by a recently published…
On bivariate lower semilinear copulas and the star product
Lea Maislinger, Wolfgang Trutschnig
We revisit the family of all bivariate lower semilinear (LSL) copulas first introduced by Durante et al. in 2008 and, using the characterization of LSL copulas…
Revisiting the region determined by Spearman's and Spearman's footrule
Marco Tschimpke, Manuela Schreyer, Wolfgang Trutschnig
Kokol and Stopar () recently studied the exact region determined by Spearman's footrule and Spearman's and derived a sharp lower, as well as a non-sharp upp…
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 link between Kendall's tau, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support
Juan Fernández-Sánchez, Wolfgang Trutschnig
Working with shuffles we establish a close link between Kendall's tau, the so-called length measure, and the surface area of bivariate copulas and derive some consequences. While i…