Relation between non-exchangeability and measures of concordance of copulas

Autor:	Bukovšek, Damjana Kokol, Košir, Tomaž, Mojškerc, Blaž, Omladič, Matjaž
Rok vydání:	2019
Předmět:	Mathematics - Statistics Theory Quantitative Finance - Statistical Finance Primary: 60E05. Secondary: 60E15 62N05
Zdroj:	Journal of mathematical analysis and applications, vol. 487 (2020)
Druh dokumentu:	Working Paper
DOI:	10.1016/j.jmaa.2020.123951
Popis:	An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method proposed also seems to be new and may serve as a raw model for exploration of the relationship between a specific property of a copula and some of its measures of dependence structure, or perhaps the relationship between various measures of dependence structure themselves. Comment: 27 pages, 11 figures
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1909.06648 Zobrazit plný text záznamu View this record from Arxiv