We study measures of concordance for multivariate copulas and copulas that induce measures of concordance. To this end, for a copula A, we consider the maps C → R given by [...] where C denotes the collection of all d–dimensional copulas, M is the Fréchet–Hoeffding upper bound, Π is the product copula, [. , .] : C × C → R is the biconvex form given by [C, D] := ∫ [0,1]d C(u) dQD(u) with the probability measure QD associated with the copula D, and ψΛ C → C is a transformation of copulas. We present...
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...
The present paper introduces a group of transformations on the collection of all multivariate copulas. The group contains a subgroup which is of particular interest since its elements preserve symmetry, the concordance order between two copulas and the value of every measure of concordance.
The present paper introduces a group of transformations on the collection of all bivariate copulas. This group contains an involution which is particularly useful since it provides (1) a criterion under which a given symmetric copula can be transformed into an asymmetric one and (2) a condition under which for a given copula the value of every measure of concordance is equal to zero. The group also contains a subgroup which is of particular interest since its four elements preserve symmetry, the...
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