Bivariate copulas: transformations, asymmetry and measures of concordance

Title:

Bivariate copulas: transformations, asymmetry and measures of concordance

Creator:

Fuchs, Sebastian and Schmidt, Klaus D.

Identifier:

https://cdk.lib.cas.cz/client/handle/uuid:6f92d5cc-82cf-490c-a425-1aa5d11d9775
uuid:6f92d5cc-82cf-490c-a425-1aa5d11d9775

Subject:

bivariate copulas, transformations, asymmetry, and measures of concordance

Type:

model:article and TEXT

Format:

bez média and svazek

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.

Language:

English

Rights:

http://creativecommons.org/publicdomain/mark/1.0/
policy:public

Coverage:

[109]-125

Source:

Kybernetika | 2014 Volume:50 | Number:1

Harvested from:

CDK

Metadata only:

false