A Biconvex Form for Copulas

Sebastian Fuchs. "A Biconvex Form for Copulas." Dependence Modeling 4.1 (2016): 63-75, electronic only. <http://eudml.org/doc/276566>.

@article{SebastianFuchs2016,
abstract = {We study the integration of a copula with respect to the probability measure generated by another copula. To this end, we consider the map [. , .] : C × C → R given by [...] where C denotes the collection of all d–dimensional copulas and QD denotes the probability measures associated with the copula D. Specifically, this is of interest since several measures of concordance such as Kendall’s tau, Spearman’s rho and Gini’s gamma can be expressed in terms of the map [. , .]. Quite generally, the map [. , .] can be applied to construct and investigate measures of concordance.},
author = {Sebastian Fuchs},
journal = {Dependence Modeling},
keywords = {biconvex form; copulas; concordance order; group of transformations; measures of concordance},
language = {eng},
number = {1},
pages = {63-75, electronic only},
title = {A Biconvex Form for Copulas},
url = {http://eudml.org/doc/276566},
volume = {4},
year = {2016},
}

TY - JOUR
AU - Sebastian Fuchs
TI - A Biconvex Form for Copulas
JO - Dependence Modeling
PY - 2016
VL - 4
IS - 1
SP - 63
EP - 75, electronic only
AB - We study the integration of a copula with respect to the probability measure generated by another copula. To this end, we consider the map [. , .] : C × C → R given by [...] where C denotes the collection of all d–dimensional copulas and QD denotes the probability measures associated with the copula D. Specifically, this is of interest since several measures of concordance such as Kendall’s tau, Spearman’s rho and Gini’s gamma can be expressed in terms of the map [. , .]. Quite generally, the map [. , .] can be applied to construct and investigate measures of concordance.
LA - eng
KW - biconvex form; copulas; concordance order; group of transformations; measures of concordance
UR - http://eudml.org/doc/276566
ER -