Closed-form expressions are derived for association measures of approximating copulas including Chatterjee's ξ, with a proof that ξ(C_n) ≤ ξ(C) and convergence as n→∞ for TP2 copulas under checkerboard approximation.
New copu- las based on general partitions-of-unity and their applications to risk management.Dependence modeling, 4(1):000010151520160006, 2016
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Measures of association for approximating copulas
Closed-form expressions are derived for association measures of approximating copulas including Chatterjee's ξ, with a proof that ξ(C_n) ≤ ξ(C) and convergence as n→∞ for TP2 copulas under checkerboard approximation.