## One Citation

### Quantifying directed dependence via dimension reduction

- Computer Science
- 2021

The dependence structure underlying this dimension reduction principle is identified, a strongly consistent estimator for it is provided, and its broad applicability is demonstrated.

## References

SHOWING 1-10 OF 28 REFERENCES

### Estimating scale-invariant directed dependence of bivariate distributions

- MathematicsComput. Stat. Data Anal.
- 2021

### On weak conditional convergence of bivariate Archimedean and Extreme Value copulas, and consequences to nonparametric estimation

- Mathematics, Computer Science
- 2020

It can be shown that every copula $C$ is the weak conditional limit of a sequence of checkerboard copulas and standard pointwise convergence and weak conditional convergence can even be proved to be equivalent.

### RANK-BASED INFERENCE FOR BIVARIATE EXTREME-VALUE COPULAS

- Mathematics
- 2009

Consider a continuous random pair (X, Y ) whose dependence is characterized by an extreme-value copula with Pickands dependence function A. When the marginal distributions of X and Y are known,…

### Nonparametric estimation of an extreme-value copula in arbitrary dimensions

- MathematicsJ. Multivar. Anal.
- 2011

### Some Concepts of Dependence

- Mathematics
- 1966

Problems involving dependent pairs of variables (X, Y) have been studied most intensively in the case of bivariate normal distributions and of 2 × 2 tables. This is due primarily to the importance of…

### Archimedean Copulas Derived from Morgenstern Utility Functions

- Computer Science
- 2013

The (additive) generator of an Archimedean copula - as well as the inverse of the generator - is a strictly decreasing and convex function, while Morgenstern utility functions are nondecreasing and concave, which provides a basis for deriving either a generator of Archimingean copulas, or its inverse, from a MorgenStern utility function.

### A Copula‐Based Non‐parametric Measure of Regression Dependence

- Mathematics, Computer Science
- 2013

A new non‐parametric measure of regression dependence is defined that takes on its extreme values precisely at independence and almost sure functional dependence, respectively in the new RDOs.

### Dependence for Archimedean copulas and aging properties of their generating functions

- Computer Science
- 2004

This paper details the correspondence between various dependence concepts and stochastic orderings for an Archimedean copula C Φ (x,y) = Φ - 1 {Φ(x) + Φ(y)} and the aging properties of the…