1. Bivariate copulas: transformations, asymmetry and measures of concordance
- Creator:
- Fuchs, Sebastian and Schmidt, Klaus D.
- Format:
- bez média and svazek
- Type:
- model:article and TEXT
- Subject:
- bivariate copulas, transformations, asymmetry, and measures of concordance
- Language:
- English
- Description:
- 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 order between two copulas and the value of every measure of concordance.
- Rights:
- http://creativecommons.org/publicdomain/mark/1.0/ and policy:public