Best-possible bounds on sets of bivariate distribution functions

DOI10.1016/j.jmva.2003.09.002zbMath1057.62038OpenAlexW2066459312MaRDI QIDQ1882946

Roger B. Nelsen, José Juan Quesada-Molina, José Antonio Rodríguez-Lallena, Manuel Úbeda-Flores

Publication date: 1 October 2004

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2003.09.002

zbMATH Keywords

copulas Kendall's tau distribution functions quasi-copulas best-possible bounds quartiles Fréchet-Hoeffding inequality sharpening

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Characterization and structure theory of statistical distributions (62E10)

Related Items

Unnamed Item ⋮ The unwalked path between quasi-copulas and copulas: stepping stones in higher dimensions ⋮ A new class of symmetric bivariate copulas ⋮ POINTWISE CONSTRUCTION OF LIPSCHITZ AGGREGATION OPERATORS WITH SPECIFIC PROPERTIES ⋮ Copulas with given values on the tails ⋮ Sklar's theorem in an imprecise setting ⋮ Best-possible bounds on the set of copulas with a given value of Spearman's footrule ⋮ Dedekind-MacNeille completion of multivariate copulas via ALGEN method ⋮ Best-possible bounds on the sets of copulas and quasi-copulas with given curvilinear sections ⋮ COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS ⋮ Belief and Plausibility Functions on the Space of Scalar Products and Applications ⋮ The impact of correlation on (Range) Value-at-Risk ⋮ Representation theorems for partially exchangeable random variables ⋮ Unnamed Item ⋮ Measures of radial asymmetry for bivariate random vectors ⋮ How close are pairwise and mutual independence? ⋮ Measures of non-exchangeability for bivariate random vectors ⋮ On the existence of a trivariate copula with given values of a trivariate quasi-copula at several points ⋮ Unnamed Item ⋮ A hitchhiker's guide to quasi-copulas ⋮ Extremal behavior of diagonal and Bertino copulas ⋮ On the best-possible upper bound on sets of copulas with given diagonal sections ⋮ Best-possible bounds on the set of copulas with given degree of non-exchangeability ⋮ ON THE CLASSES OF COPULAS AND QUASI-COPULAS WITH A GIVEN DIAGONAL SECTION ⋮ On a family of multivariate copulas for aggregation processes ⋮ Constructing Copulas with Given Diagonal and Opposite Diagonal Sections ⋮ Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options ⋮ Intervals of 1-Lipschitz aggregation operators, quasi-copulas, and copulas with given affine section ⋮ Constructions of copulas with given diagonal (and opposite diagonal) sections and some generalizations ⋮ Quasi-copulas with a given sub-diagonal section ⋮ Copulas, diagonals, and tail dependence ⋮ Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence ⋮ Copulas Constructed from Horizontal Sections ⋮ On a family of copulas constructed from the diagonal section ⋮ Bounds on Bivariate Distribution Functions with Given Margins and Known Values at Several Points ⋮ VaR bounds for joint portfolios with dependence constraints ⋮ On the construction of copulas and quasi-copulas with given diagonal sections ⋮ Extremal Lipschitz continuous aggregation functions with a given diagonal section ⋮ Some members of the class of (quasi-)copulas with given diagonal from the Markov kernel perspective ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Worst VaR scenarios with given marginals and measures of association ⋮ Bivariate distributions with ordered marginals ⋮ OPPOSITE DIAGONAL SECTIONS OF QUASI-COPULAS AND COPULAS ⋮ Unnamed Item ⋮ Unnamed Item ⋮ Sharp Bounds on a Class of Copulas with known Values at Several Points ⋮ Upper Bound for the Expected Minimum of Dependent Random Variables with Known Kendall's Tau ⋮ Copulas: A Review and Recent Developments ⋮ The lattice-theoretic structure of sets of bivariate copulas and quasi-copulas ⋮ Partial identification of average treatment effects on the treated through difference-in-differences ⋮ Maximum entropy copula with given diagonal section

Cites Work

This page was built for publication: Best-possible bounds on sets of bivariate distribution functions