Warianty tytułu
Języki publikacji
Abstrakty
We study the integration of a copula with respect to the probability measure generated by another copula. To this end, we consider the map [. , .] : C × C → R given by [...] where C denotes the collection of all d–dimensional copulas and QD denotes the probability measures associated with the copula D. Specifically, this is of interest since several measures of concordance such as Kendall’s tau, Spearman’s rho and Gini’s gamma can be expressed in terms of the map [. , .]. Quite generally, the map [. , .] can be applied to construct and investigate measures of concordance.
Wydawca
Czasopismo
Rocznik
Tom
Numer
Opis fizyczny
Daty
otrzymano
2015-11-09
zaakceptowano
2016-02-05
online
2016-02-23
Twórcy
autor
- Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden
Bibliografia
Typ dokumentu
Bibliografia
Identyfikatory
Identyfikator YADDA
bwmeta1.element.doi-10_1515_demo-2016-0003