A semiparametric family of symmetric bivariate copulas (Q2745771)
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scientific article; zbMATH DE number 1655189
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A semiparametric family of symmetric bivariate copulas |
scientific article; zbMATH DE number 1655189 |
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6 June 2003
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bivariate copula
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association
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dependence measure
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0.96455085
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0.9562278
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0.93572277
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0.91643846
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0.91387856
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0.90682995
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0.90275353
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A semiparametric family of symmetric bivariate copulas (English)
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The authors consider bivariate copulas of the form \(C_{\theta}(u,v)=u v+\theta \Phi (u)\Phi(v),\theta \in [-1,1].\) With some members of this class one can obtain the classical dependence properties and maximal possible values of Kendall's \(\tau\) and Spearman's \(\varrho\) coefficient of association, given by \(|\theta|/2\) resp. \(3|\theta|/4\).
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