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文章基本信息

  • 标题:A Biconvex Form for Copulas
  • 作者:Sebastian Fuchs
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2016
  • 卷号:4
  • 期号:1
  • DOI:10.1515/demo-2016-0003
  • 出版社:Walter de Gruyter GmbH
  • 摘要:

    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.

  • 关键词:biconvex form ; copulas ; concordance order ; group of transformations ; measures of concordance
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