Idempotence is a well-known property of functionals of location. It means that the value of the functional at a singular distribution must be identically to the mass point of this distribution. First, we explain the role of idempotence in the known axiomizations of location functionals. Then we...

We present a non-parametric tail dependence estimator which arises naturally from a specific regression model. Above that, this tail dependence estimator also results from a specific copula mixture. -- Upper tail dependence ; nonparametric estimation ; copula

We present a new family of copulas ("generalized mean copulas") which is positive comprehensive and allows for upper tail dependence. It includes the Spearman copula and a specific Fréchet copula as special cases. Some properties and a generalized tail dependence estimator are derived. Finally,...

A new kind of entropy will be introduced generalizing both the differential entropy and the cumulative (residual) entropy. The generalization is twofold. Firstly, we define the entropy for cumulative distribution functions (cdf) and survivor functions (sf) simultaneously instead of densities,...

The field of econometrics has gone through remarkable changes during the last decades. The earlier focus on testing macroeconomic theories has been widened considerably. It has turned into a discipline concerned with the development and application of statistical methods for any kind of economic...