On the exact region determined by Spearman's rho and Spearman's footrule

被引：7

作者：

Bukovsek, Damjana Kokol ^{[1
,2
]}

Stopar, Nik ^{[2
,3
]}

机构：

[1] Univ Ljubljana, Sch Econ & Business, Ljubljana, Slovenia

[2] Inst Math Phys & Mech, Ljubljana, Slovenia

[3] Univ Ljubljana, Fac Civil & Geodet Engn, Ljubljana, Slovenia

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2024年 / 437卷

关键词：

Copula; Dependence; Concordance measure; Spearman's rho; Spearman's footrule; MULTIVARIATE MEASURES; BIVARIATE COPULAS; KENDALLS TAU; CONCORDANCE;

D O I：

10.1016/j.cam.2023.115463

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We determine the lower bound for possible values of Spearman's rho of a bivariate copula given that the value of its Spearman's footrule is known and show that this bound is always attained. We also give an estimate for the exact upper bound and prove that the estimate is exact for some but not all values of Spearman's footrule. Nevertheless, we show that the estimate is quite tight. & COPY; 2023 The Author(s). Published by Elsevier B.V. This is an open access article under the CC BY-NC-ND license (http://creativecommons.org/licenses/by-nc-nd/4.0/).

引用

页数：23

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