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  • 标题:Measures of concordance determined by D4-invariant copulas
  • 本地全文:下载
  • 作者:H. H. Edwards ; P. Mikusiński ; M. D. Taylor
  • 期刊名称:International Journal of Mathematics and Mathematical Sciences
  • 印刷版ISSN:0161-1712
  • 电子版ISSN:1687-0425
  • 出版年度:2004
  • 卷号:2004
  • 期号:70
  • 页码:3867-3875
  • DOI:10.1155/S016117120440355X
  • 出版社:Hindawi Publishing Corporation
  • 摘要:

    A continuous random vector ( X , Y ) uniquely determines a copula C : [ 0 , 1 ] 2 → [ 0 , 1 ] such that when the distribution functions of X and Y are properly composed into C , the joint distribution function of ( X , Y ) results. A copula is said to be D 4 -invariant if its mass distribution is invariant with respect to the symmetries of the unit square. A D 4 -invariant copula leads naturally to a family of measures of concordance having a particular form, and all copulas generating this family are D 4 -invariant. The construction examined here includes Spearman’s rho and Gini’s measure of association as special cases.

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