A biconvex form for copulas

DOI10.1515/demo-2016-0003zbMath1349.62175OpenAlexW2379702203MaRDI QIDQ325017

Sebastian Fuchs

Publication date: 17 October 2016

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/demo-2016-0003

zbMATH Keywords

copulasmeasures of concordancebiconvex formconcordance ordergroup of transformations

Mathematics Subject Classification ID

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

Related Items (9)

On order statistics and Kendall's tau ⋮ Dissimilarity functions for rank-invariant hierarchical clustering of continuous variables ⋮ Copula-induced measures of concordance ⋮ Characterizations of copulas attaining the bounds of multivariate Kendall's tau ⋮ On the lower bound of Spearman's footrule ⋮ A novel positive dependence property and its impact on a popular class of concordance measures ⋮ Study of partial and average conditional Kendall's tau ⋮ Conditioning of copulas: transformations, invariance and measures of concordance ⋮ On minimal copulas under the concordance order

Cites Work

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• Multivariate measures of concordance
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• Concordance and Gini's measure of association
• Measures of concordance determined by 𝐷₄-invariant measures on (0,1)²
• Copulas, Characterization, Correlation, and Counterexamples
• Principles of Copula Theory
• Some Integration-by-Parts Formulas Involving 2-Copulas

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