3 citations · 4 across the 5 of their papers we have counts for
5 papers · 1 filter
On convergence and mass distributions of multivariate Archimedean copulas and their interplay with the Williamson transform
Thimo M. Kasper, Nicolas Dietrich, Wolfgang Trutschnig
Motivated by a recently established result saying that within the class of bivariate Archimedean copulas standard pointwise convergence implies weak convergence of almost all condi…
On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation
Thimo M. Kasper, Sebastian Fuchs, Wolfgang Trutschnig
Looking at bivariate copulas from the perspective of conditional distributions and considering weak convergence of almost all conditional distributions yields the notion of weak co…
How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond
Thomas Mroz, Sebastian Fuchs, Wolfgang Trutschnig
Motivated by the increasing popularity and the seemingly broad applicability of pair-copula constructions underlined by numerous publications in the last decade, in this contributi…
A sharp inequality for Kendall's and Spearman's of Extreme-Value Copulas
Thomas Mroz, Wolfgang Trutschnig
We derive a new (lower) inequality between Kendall's tau? and Spearman's rho? for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclu…
On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman (Kendall ) identical to some value
Noppadon Kamnitui, Christian Genest, Wolfgang Trutschnig
We answer an open question posed by the second author at the Salzburg workshop on Dependence Models and Copulas in 2016 concerning the size of the family ($\mathc…