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Copula–Induced Measures of Concordance

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Fuchs S.

Dependence Modeling

2016

tom 4

nr 1

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.

Ograniczanie wyników

1 Dependence Modeling

1 Fuchs S.

1 2016

Wyniki wyszukiwania

Copula–Induced Measures of Concordance