A link between Kendall’s τ, the length measure and the surface of bivariate copulas, and a consequence to copulas with self-similar support
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DOI: 10.1515/demo-2023-0105
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References listed on IDEAS
- Fredricks, Gregory A. & Nelsen, Roger B. & Rodriguez-Lallena, Jose Antonio, 2005. "Copulas with fractal supports," Insurance: Mathematics and Economics, Elsevier, vol. 37(1), pages 42-48, August.
- Coblenz, Maximilian & Grothe, Oliver & Schreyer, Manuela & Trutschnig, Wolfgang, 2018. "On the length of copula level curves," Journal of Multivariate Analysis, Elsevier, vol. 167(C), pages 347-365.
- Juan Fernández Sánchez & Wolfgang Trutschnig, 2015. "Conditioning-based metrics on the space of multivariate copulas and their interrelation with uniform and levelwise convergence and Iterated Function Systems," Journal of Theoretical Probability, Springer, vol. 28(4), pages 1311-1336, December.
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Keywords
asymmetry; copula; dependence measure; exchangeability; Markov kernel;All these keywords.
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