Characterizations of Copulas Attaining the Bounds of Multivariate Kendall’s Tau
| Autor: | Klaus D. Schmidt, Sebastian Fuchs, Yann McCord |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
Statistics::Theory
Multivariate statistics Control and Optimization Applied Mathematics Kendall tau rank correlation coefficient Copula (linguistics) Statistics::Other Statistics 02 engineering and technology Management Science and Operations Research 01 natural sciences Upper and lower bounds 010104 statistics & probability Theory of computation 0202 electrical engineering electronic engineering information engineering Statistics::Methodology Applied mathematics 020201 artificial intelligence & image processing 0101 mathematics Mathematics |
| Zdroj: | Journal of Optimization Theory and Applications. 178:424-438 |
| ISSN: | 1573-2878 0022-3239 |
| DOI: | 10.1007/s10957-018-1285-6 |
| Popis: | Kendall’s tau is one of the most popular measures of concordance, and even in the multivariate case exact upper and lower bounds of Kendall’s tau are known. The present paper provides characterizations of the copulas attaining the bounds of multivariate Kendall’s tau, mainly in terms of the copula measure, but also via Kendall’s distribution function and for shuffles of copulas. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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