相关论文: Multivariate Measures of Concordance for Copulas a…

We explore the consequences of a set of axioms which extend Scarsini's axioms for bivariate measures of concordance to the multivariate case and exhibit the following results: (1) A method of extending measures of concordance from the…

In the present paper we propose and study estimators for a wide class of bivariate measures of concordance for copulas. These measures of concordance are generated by a copula and generalize Spearman's rho and Gini's gamma. In the case of…

A dependence measure for arbitrary type pairs of random variables is proposed and analyzed, which in the particular case where both random variables are continuous turns out to be a concordance measure. Also, a sample version of the…

We introduce novel information-theoretic measures termed the multivariate cumulative copula fractional inaccuracy measure and the multivariate survival copula fractional inaccuracy measure, constructed respectively from multivariate copulas…

An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to…

This paper studies the degree to which a bivariate copula fails to be symmetric under coordinate permutation, a property known as non-exchangeability. Working within an axiomatic framework that quantifies this asymmetry through a family of…

The partial correlation coefficient is a commonly used measure to assess the conditional dependence between two random variables. We provide a thorough explanation of the partial copula, which is a natural generalization of the partial…

This study outlines a comprehensive methodology utilizing copulas to discern inconsistencies in the behavior exhibited by pairs of financial assets. It introduces a robust approach to establishing the interrelationship between the returns…

The purpose of this paper is to characterize the concept of monotonicity according to a direction related to a set of n random variables in terms of its associated n-copula C. We start establishing relationships in the bivariate and…

Multivariate datasets are common in various real-world applications. Recently, copulas have received significant attention for modeling dependencies among random variables. A copula-based information measure is required to quantify the…

Besides the classical distinction of correlation and dependence, many dependence measures bear further pitfalls in their application and interpretation. The aim of this paper is to raise and recall awareness of some of these limitations by…

Marginal and conditional summary measures do not generally coincide, have different interpretations and correspond to different decision questions. While these aspects have primarily been recognized for non-collapsible summary measures,…

This article extends the literature on copulas with discrete or continuous marginals to the case where some of the marginals are a mixture of discrete and continuous components. We do so by carefully defining the likelihood as the density…

Based on recent progress in research on copula based dependence measures, we review the original Renyi's axioms on symmetric measures and propose a new set of axioms that applies to nonsymmetric measures. We show that nonsymmetric measures…

We present correspondences induced by some classical mappings between measures on an interval and measures on the unit circle. More precisely, we link their sequences of orthogonal polynomial and their recursion coefficients. We also deduce…

We determine under which conditions three bivariate copulas are compatible, viz. they are the bivariate marginals of the same trivariate copula, and, then, construct the class of these copulas. In particular, the upper and lower bounds for…

The mathematics of musical intervals and scales has been extensively studied. Vastly simplified, our ears seem to prefer intervals whose frequency ratios have small numerator and denominator, such as 2:1 (octave), 3:2 (perfect fifth), 4:3…

We propose R\'enyi inaccuracy measure based on multivariate copula and multivariate survival copula, respectively dubbed as multivariate cumulative copula R\'enyi inaccuracy measure and multivariate survival copula R\'enyi inaccuracy…

Collapsibility deals with the conditions under which a conditional (on a covariate W) measure of association between two random variables X and Y equals the marginal measure of association, under the assumption of homogeneity over the…

We study the approximation of non-negative multi-variate couplings in the uniform norm while matching given single-variable marginal constraints.