Characterizations of copulas attaining the bounds of multivariate Kendall's tau

DOI10.1007/s10957-018-1285-6zbMath1418.62222OpenAlexW2802587308WikidataQ129978102 ScholiaQ129978102MaRDI QIDQ1670098

Sebastian Fuchs, Klaus D. Schmidt, Yann McCord

Publication date: 4 September 2018

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10957-018-1285-6

zbMATH Keywords

copulasKendall's taucountermonotonicitymeasures of concordanceshuffles of copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Related Items (7)

On order statistics and Kendall's tau ⋮ Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ On the lower bound of Spearman's footrule ⋮ How simplifying and flexible is the simplifying assumption in pair-copula constructions -- analytic answers in dimension three and a glimpse beyond ⋮ On minimal copulas under the concordance order ⋮ Relation between non-exchangeability and measures of concordance of copulas ⋮ On the class of truncation invariant bivariate copulas under constraints

Cites Work

• On multivariate countermonotonic copulas and their actuarial application
• A biconvex form for copulas
• Multivariate countermonotonicity and the minimal copulas
• Multivariate shuffles and approximation of copulas
• An introduction to copulas.
• Multivariate versions of Blomqvist's beta and Spearman's footrule
• On the multidimensional extension of countermonotonicity and its applications
• ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS
• Principles of Copula Theory
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