Efficient and accurate evaluation methods for concordance measures via functional tensor characterizations of copulas

DOI10.1007/S11009-019-09752-2OpenAlexW3125650324WikidataQ126639218 ScholiaQ126639218MaRDI QIDQ2218837

Antonio Dalessandro, Gareth W. Peters

Publication date: 18 January 2021

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-019-09752-2

zbMATH Keywords

martingale problemtensor algebracopula functionsconcordance measurescopula infinitesimal generatorssemimartingales decompositionmultidimensional semimartingales decomposition approximations

Mathematics Subject Classification ID

Statistics of extreme values; tail inference (62G32) Applications of functional analysis in probability theory and statistics (46N30) Probability measures on groups or semigroups, Fourier transforms, factorization (60B15) Applications of operator theory in probability theory and statistics (47N30) Multivariate analysis and fuzziness (62H86)

Cites Work

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• A Note on Directional Dependence in Regression Setting
• A NEW MEASURE OF RANK CORRELATION
• On a Measure of Dependence Between two Random Variables

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