Relation between non-exchangeability and measures of concordance of copulas

DOI10.1016/j.jmaa.2020.123951zbMath1432.62151arXiv1909.06648OpenAlexW3006667841MaRDI QIDQ2306211

Matjaž Omladič, Blaž Mojškerc, Damjana Kokol Bukovšek, Tomasž Košir

Publication date: 20 March 2020

Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1909.06648

zbMATH Keywords

copuladependence conceptsmeasures of concordanceasymmetry or non-exchangeabilitysupremum and minimum of a set of copulas

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05)

Related Items (7)

On the exact region determined by Spearman's footrule and Gini's gamma ⋮ Maximal asymmetry of bivariate copulas and consequences to measures of dependence ⋮ On the exact region determined by Spearman's rho and Spearman's footrule ⋮ Dedekind-MacNeille completion of multivariate copulas via ALGEN method ⋮ On the exact regions determined by Kendall's tau and other concordance measures ⋮ Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta ⋮ On a new partial order on bivariate distributions and on constrained bounds of their copulas

Uses Software

• Mathematica
• CopulaModel

Cites Work

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