| Title:
|
Multivariate copulas: Transformations, symmetry, order and measures of concordance (English) |
| Author:
|
Fuchs, Sebastian |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 (print) |
| ISSN:
|
1805-949X (online) |
| Volume:
|
50 |
| Issue:
|
5 |
| Year:
|
2014 |
| Pages:
|
725-743 |
| Summary lang:
|
English |
| . |
| Category:
|
math |
| . |
| Summary:
|
The present paper introduces a group of transformations on the collection of all multivariate copulas. The group contains a subgroup which is of particular interest since its elements preserve symmetry, the concordance order between two copulas and the value of every measure of concordance. (English) |
| Keyword:
|
multivariate copulas |
| Keyword:
|
transformations |
| Keyword:
|
symmetry |
| Keyword:
|
order |
| Keyword:
|
measures of concordance |
| MSC:
|
20C9 |
| MSC:
|
20C99 |
| MSC:
|
60B15 |
| MSC:
|
60E05 |
| MSC:
|
62E10 |
| MSC:
|
62H20 |
| idZBL:
|
Zbl 06410700 |
| idMR:
|
MR3301857 |
| DOI:
|
10.14736/kyb-2014-5-0725 |
| . |
| Date available:
|
2015-01-13T09:28:16Z |
| Last updated:
|
2016-01-03 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/144103 |
| . |
| Reference:
|
[1] Durante, F., Sempi, C.: Copula theory: an introduction..In: Copula Theory and Its Applications (P. Jaworski, F. Durante, W. Häerdle, T. Rychlik, eds.), Springer, Berlin, Heidelberg 2010, pp. 3-31. MR 3051261 |
| Reference:
|
[2] Dolati, A., Úbeda-Flores, M.: On measures of multivariate concordance..J. Probab. Stat. Sci. 4 (2006), 147-163. MR 2488161 |
| Reference:
|
[3] Fuchs, S., Schmidt, K. D.: Bivariate copulas: Transformations, asymmetry and measure of concordance..Kybernetika 50 (2013), 109-125. MR 3195007 |
| Reference:
|
[4] Nelsen, R. B.: An Introduction to Copulas. Second Edition..Springer, New York 2006. MR 2197664 |
| Reference:
|
[5] Taylor, M. D.: Multivariate measures of concordance..Ann. Inst. Statist. Math. 59 (2007), 789-806. Zbl 1131.62054, MR 2397737, 10.1007/s10463-006-0076-2 |
| Reference:
|
[6] Taylor, M. D.: Some properties of multivariate measures of concordance..arXiv:0808.3105 (2008). |
| Reference:
|
[7] Taylor, M. D.: Multivariate measures of concordance for copulas and their marginals..arXiv:1004.5023 (2010). MR 2397737 |
| Reference:
|
[8] Úbeda-Flores, M.: Multivariate versions of Blomqvist's beta and Spearman's footrule..Ann. Inst. Statist. Math. 57 (2005) 781-788. Zbl 1093.62060, MR 2213491, 10.1007/BF02915438 |
| . |
