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...
| Tác giả chính: | |
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| Định dạng: | info:eu-repo/semantics/article |
| Ngôn ngữ: | English |
| Được phát hành: |
2023
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| Những chủ đề: | |
| Truy cập trực tuyến: | http://hdl.handle.net/10835/14925 |
| Tóm tắt: | 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. |
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