文章基本信息

标题：Copula–Induced Measures of Concordance
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作者：Sebastian Fuchs
期刊名称：Dependence Modeling
电子版ISSN：2300-2298
出版年度：2016
卷号：-1
期号：open-issue
页码：205-214
DOI：10.1515/demo-2016-0011
出版社：Walter de Gruyter GmbH
摘要：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 conditions on ψΛ and on A under which these maps are measures of concordance.The resulting class of measures of concordance is rich and includes the well–known examples Spearman’s rho and Gini’s gamma.
关键词：copulas ; transformations of copulas ; measures of concordance