Zobrazeno 1 - 10
of 642
pro vyhledávání: '"Fuchs Sebastian"'
Publikováno v:
Dependence Modeling, Vol 9, Iss 1, Pp 307-326 (2021)
Triggered by a recent article establishing the surprising result that within the class of bivariate Archimedean copulas 𝒞ar different notions of convergence - standard uniform convergence, convergence with respect to the metric D1, and so-called w
Externí odkaz:
https://doaj.org/article/6cd96376d1c14e20870b5a8a064bf232
Autor:
Fuchs Sebastian, Trutschnig Wolfgang
Publikováno v:
Dependence Modeling, Vol 8, Iss 1, Pp 396-416 (2020)
Conditional Value-at-Risk (CoVaR) is defined as the Value-at-Risk of a certain risk given that the related risk equals a given threshold (CoVaR=) or is smaller/larger than a given threshold (CoVaR
Externí odkaz:
https://doaj.org/article/8352960e81c74d919a0d06b367da4bf5
Autor:
Fuchs Sebastian, McCord Yann
Publikováno v:
Dependence Modeling, Vol 7, Iss 1, Pp 126-132 (2019)
Úbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lowe
Externí odkaz:
https://doaj.org/article/17c88f539f0341a2ac221e7d0f770771
Autor:
Fuchs, Sebastian, Wang, Yuping
A rank-invariant clustering of variables is introduced that is based on the predictive strength between groups of variables, i.e., two groups are assigned a high similarity if the variables in the first group contain high predictive information about
Externí odkaz:
http://arxiv.org/abs/2312.16544
Recently established, directed dependence measures for pairs $(X,Y)$ of random variables build upon the natural idea of comparing the conditional distributions of $Y$ given $X=x$ with the marginal distribution of $Y$. They assign pairs $(X,Y)$ values
Externí odkaz:
http://arxiv.org/abs/2308.06168
Autor:
Fuchs, Sebastian, Tschimpke, Marco
A novel positive dependence property is introduced, called positive measure inducing (PMI for short), being fulfilled by numerous copula classes, including Gaussian, Fr\'echet, Farlie-Gumbel-Morgenstern and Frank copulas; it is conjectured that even
Externí odkaz:
http://arxiv.org/abs/2306.09676