4 papers
A dimension reduction for extreme types of directed dependence
Sebastian Fuchs, Carsten Limbach
In recent years, a variety of novel measures of dependence have been introduced being capable of characterizing diverse types of directed dependence, hence diverse types of how a n…
A new coefficient of separation
Sebastian Fuchs, Carsten Limbach, Patrick B. Langthaler
A coefficient is introduced that quantifies the extent of separation of a random variable relative to a number of variables by skillfully asses…
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…
Estimators for a Class of Bivariate Measures of Concordance for Copulas
Sebastian Fuchs, Klaus D. Schmidt
In the present paper we propose and study estimators for a wide class of bivariate measures of concordance for copulas. These measures of concordance are generated by a copula and…