Characterizations of Copulas Attaining the Bounds of Multivariate Kendall's Tau

被引：9
|
作者：
Fuchs, Sebastian [1 ]
McCord, Yann [2 ]
Schmidt, Klaus D. [2 ]
机构：
[1] Free Univ Bozen Bolzano, Bolzano, Italy
[2] Tech Univ Dresden, Dresden, Germany
来源：
JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2018年 / 178卷 / 02期
关键词：
Kendall's tau; Measures of concordance; Copulas; Shuffles of copulas; Countermonotonicity; COUNTERMONOTONICITY; TRANSFORMATIONS; CONCORDANCE;
D O I：
10.1007/s10957-018-1285-6
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：424 / 438
页数：15
相关论文
共 50 条
  • [1] Characterizations of Copulas Attaining the Bounds of Multivariate Kendall’s Tau
    Sebastian Fuchs
    Yann McCord
    Klaus D. Schmidt
    Journal of Optimization Theory and Applications, 2018, 178 : 424 - 438
  • [2] Multivariate Kendall's tau for change-point detection in copulas
    Quessy, Jean-Francois
    Said, Meriem
    Favre, Anne-Catherine
    CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 2013, 41 (01): : 65 - 82
  • [3] On the Application of Multivariate Kendall's Tau and Its Interpretation
    Lee, Woojoo
    Ahn, Jae Youn
    KOREAN JOURNAL OF APPLIED STATISTICS, 2013, 26 (03) : 495 - 509
  • [4] Bounds on Multivariate Kendall's Tau and Spearman's Rho for Zero-Inflated Continuous Variables and their Application to Insurance
    Mesfioui, Mhamed
    Trufin, Julien
    METHODOLOGY AND COMPUTING IN APPLIED PROBABILITY, 2022, 24 (02) : 1051 - 1059
  • [5] Bounds on Multivariate Kendall’s Tau and Spearman’s Rho for Zero-Inflated Continuous Variables and their Application to Insurance
    Mhamed Mesfioui
    Julien Trufin
    Methodology and Computing in Applied Probability, 2022, 24 : 1051 - 1059
  • [6] Characterizations of Multivariate Implicit Dependence Copulas
    Santiwipanont, Tippawan
    Sumetkijakan, Songkiat
    Yanpaisan, Noppawit
    COMBINING, MODELLING AND ANALYZING IMPRECISION, RANDOMNESS AND DEPENDENCE, SMPS 2024, 2024, 1458 : 440 - 448
  • [7] ESTIMATORS BASED ON KENDALL'S TAU IN MULTIVARIATE COPULA MODELS
    Genest, Christian
    Neslehova, Johanna
    Ben Ghorbal, Noomen
    AUSTRALIAN & NEW ZEALAND JOURNAL OF STATISTICS, 2011, 53 (02) : 157 - 177
  • [8] A sharp inequality for Kendall's tau and Spearman's rho of Extreme-Value Copulas
    Mroz, Thomas
    Trutschnig, Wolfgang
    DEPENDENCE MODELING, 2018, 6 (01): : 369 - 376
  • [9] Bounds on integrals with respect to multivariate copulas
    Preischl, Michael
    DEPENDENCE MODELING, 2016, 4 (01): : 277 - 287
  • [10] Bounds on Kendall's tau for zero-inflated continuous variables
    Denuit, Michel M.
    Mesfioui, Mhamed
    STATISTICS & PROBABILITY LETTERS, 2017, 126 : 173 - 178
12345