Best-possible bounds on the set of copulas with a given value of Gini's gamma
In this note, pointwise best-possible (lower and upper) bounds on the set of copulas with a given value of the Gini’s gamma coefficient are established. It is shown that, unlike the best-possible bounds on the set of copulas with a given value of other known measures such as Kendall’s tau, Spearma...
| المؤلف الرئيسي: | |
|---|---|
| التنسيق: | info:eu-repo/semantics/article |
| اللغة: | English |
| منشور في: |
2023
|
| الموضوعات: | |
| الوصول للمادة أونلاين: | http://hdl.handle.net/10835/14925 |
| الملخص: | In this note, pointwise best-possible (lower and upper) bounds on the set of copulas with a given value of the Gini’s
gamma coefficient are established. It is shown that, unlike the best-possible bounds on the set of copulas with a given
value of other known measures such as Kendall’s tau, Spearman’s rho or Blomqvist’s beta, the bounds found are not
necessarily copulas, but proper quasi-copulas. |
|---|