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

页码：424 / 438

页数：15

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