Copula–Induced Measures of Concordance

• Autorzy: Sebastian Fuchs
• Języki publikacji: EN

Abstrakty

EN

We study measures of concordance for multivariate copulas and copulas that induce measures of concordance. To this end, for a copula A, we consider the maps C → R given by [...] where C denotes the collection of all d–dimensional copulas, M is the Fréchet–Hoeffding upper bound, Π is the product copula, [. , .] : C × C → R is the biconvex form given by [C, D] := ∫ [0,1]d C(u) dQD(u) with the probability measure QD associated with the copula D, and ψΛ C → C is a transformation of copulas. We present conditions on ψΛ and on A under which these maps are measures of concordance. The resulting class of measures of concordance is rich and includes the well–known examples Spearman’s rho and Gini’s gamma.

Słowa kluczowe

EN

copulas; transformations of copulas; measures of concordance

• Wydawca: De Gruyter Open
• Czasopismo: Dependence Modeling
• Rocznik: 2016
• Tom: 4
• Numer: 1

Daty

otrzymano

2016-04-13

zaakceptowano

2016-08-04

online

2016-10-07

Twórcy

autor

Sebastian Fuchs

• Lehrstuhl für Versicherungsmathematik, Technische Universität Dresden

Identyfikatory

DOI

10.1515/demo-2016-0011