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  • 标题:Maximum asymmetry of copulas revisited
  • 本地全文:下载
  • 作者:Noppadon Kamnitui ; Juan Fernández-Sánchez ; Wolfgang Trutschnig
  • 期刊名称:Dependence Modeling
  • 电子版ISSN:2300-2298
  • 出版年度:2018
  • 卷号:6
  • 期号:1
  • 页码:47-62
  • DOI:10.1515/demo-2018-0003
  • 出版社:Walter de Gruyter GmbH
  • 摘要:Motivated by the nice characterization of copulas A for which d ∞ (A, A t ) is maximal as established independently by Nelsen [11] and Klement & Mesiar [7], we study maximum asymmetry with respect to the conditioning-based metric D 1 going back to Trutschnig [12]. Despite the fact that D 1 (A, A t ) is generally not straightforward to calculate, it is possible to provide both, a characterization and a handy representation of all copulas A maximizing D 1 (A, A t ). This representation is then used to prove the existence of copulas with full support maximizing D 1 (A, A t ). A comparison of D 1 - and d ∞ -asymmetry including some surprising examples rounds off the paper..
  • 关键词:Copula ; exchangeability ; symmetry ; complete dependence ; Markov kernel ; 60E05 ; 62E10 ; 28A12 ; 62H05
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