Relation between non-exchangeability and measures of concordance of copulas

JOURNAL OF MATHEMATICAL ANALYSIS AND APPLICATIONS

卷:487

Article

Bukovsek, Damjana Kokol^1,2  Kosir, Tomaz^2,3  Mojskerc, Blaz^1,2  Omladic, Matjaz² 

[1] Univ Ljubljana, Sch Econ & Business, Ljubljana, Slovenia

[2] Inst Math Phys & Mech, Ljubljana, Slovenia

[3] Univ Ljubljana, Fac Math & Phys, Ljubljana, Slovenia

关键词: Copula;    Dependence concepts;    Supremum and minimum of a set of copulas;    Asymmetry or non-exchangeability;    Measures of concordance;   

DOI  :  10.1016/j.jmaa.2020.123951

来源: Elsevier

【 摘 要 】

An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method proposed also seems to be new and may serve as a raw model for exploration of the relationship between a specific property of a copula and some of its measures of dependence structure, or perhaps the relationship between various measures of dependence structure themselves. (C) 2020 Elsevier Inc. All rights reserved.

【 授权许可】

Free