Dependence of non-continuous random variables
Dependence of non-continuous random variables
Dependence of non-continuous random variables
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Fallacies <strong>Dependence</strong> Concordance Measures Problems & References AppendixThe ”Standard” Extension StrategyC(0.4, 0.4) = 0C(0.4, 0.4) = 0.16C(0.4, 0.4) = 0.31110.80.80.80.60.60.6yyy0.40.40.40.20.20.2000.20.40.60.81000.20.40.60.81000.20.40.60.81xxxThe Standard Extension C S• The standard extension copula <strong>of</strong> Schweizer and Sklar• C S corresponds to the linear interpolation <strong>of</strong> the uniquesubcopula as well as the unique copula <strong>of</strong> the smoothed jdfJ. Nešlehová ETH Zurich<strong>Dependence</strong> <strong>of</strong> <strong>non</strong>-<strong>continuous</strong> <strong>random</strong> <strong>variables</strong>
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