Best-possible bounds on the set of copulas with a given value of Spearman's footrule
In this paper we find pointwise best-possible bounds on the set of copulas with a given value of the Spearman’s footrule co-efficient. We show that the lower bound is always a copula but, unlike the bounds on sets of copulas with a given value of other measures, such as Kendall’s tau, Spearman’s rho...
| Principais autores: | , , , |
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| Formato: | info:eu-repo/semantics/article |
| Idioma: | English |
| Publicado em: |
2023
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| Assuntos: | |
| Acesso em linha: | https://www.sciencedirect.com/science/article/abs/pii/S0165011420304553 http://hdl.handle.net/10835/14923 |
| Resumo: | In this paper we find pointwise best-possible bounds on the set of copulas with a given value of the Spearman’s footrule co-efficient. We show that the lower bound is always a copula but, unlike the bounds on sets of copulas with a given value of other measures, such as Kendall’s tau, Spearman’s rho and Blonqvist’s beta, the upper bound can be a copula or a proper quasi-copula. We characterised both of these cases. |
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