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Complete dependence everywhere?

In: Copulas and Dependence Models with Applications

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  • Wolfgang Trutschnig

    (University Salzburg, Department for Mathematics)

Abstract

Describing the situation of full predictability of a random variable Y given the value of another random variable X, the notion of complete dependence might seem far too restrictive to be of any practical importance at first glance. Recent results have shown, however, that complete dependence naturally appears in various settings. This chapter will therefore sketch some problems related to complete dependence. Doing so, the focus will be on dependence measures strictly separating extreme dependence concepts, on a problem related to joint-default maximization, on a question from uniform distribution theory, and on the relationship between the two most well-known measures of concordance, Kendall’s τ and Spearman’s ρ. A short excursion to topology showing that complete dependence is not atypical at all complements the chapter.

Suggested Citation

  • Wolfgang Trutschnig, 2017. "Complete dependence everywhere?," Springer Books, in: Manuel Úbeda Flores & Enrique de Amo Artero & Fabrizio Durante & Juan Fernández Sánchez (ed.), Copulas and Dependence Models with Applications, chapter 0, pages 225-240, Springer.
    • Handle: RePEc:spr:sprchp:978-3-319-64221-5_14
    DOI: 10.1007/978-3-319-64221-5_14
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