Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
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Publication:2226323
DOI10.1016/J.CAM.2021.113385zbMATH Open1457.60025arXiv2009.06221OpenAlexW3085590694MaRDI QIDQ2226323FDOQ2226323
Authors: Damjana Kokol Bukovšek, Blaž Mojškerc, M. Omladič, T. Košir 
Publication date: 12 February 2021
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Abstract: Copulas are becoming an essential tool in analyzing data thus encouraging interest in related questions. In the early stage of exploratory data analysis, say, it is helpful to know local copula bounds with a fixed value of a given measure of association. These bounds have been computed for Spearman's rho, Kendall's tau, and Blomqvist's beta. The importance of another two measures of association, Spearman's footrule and Gini's gamma, has been reconfirmed recently. It is the main purpose of this paper to fill in the gap and present the mentioned local bounds for these two measures as well. It turns out that this is a quite non-trivial endeavor as the bounds are quasi-copulas that are not copulas for certain values of the two measures. We also give relations between these two measures of association and Blomqvist's beta.
Full work available at URL: https://arxiv.org/abs/2009.06221
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copuladependence conceptsquasi-copulameasures of concordancelocal boundssupremum and infimum of a set of copulas
Probability distributions: general theory (60E05) Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15)
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Cited In (12)
- Title not available (Why is that?)
- Spearman's footrule and Gini's gamma: a review with complements
- On the exact region determined by Spearman's footrule and Gini's gamma
- Correction to: ``Best-possible bounds on the set of copulas with a given value of Spearman's footrule
- On the exact region determined by Spearman's rho and Spearman's footrule
- Multivariate versions of Blomqvist's beta and Spearman's footrule
- Dedekind-MacNeille completion of multivariate copulas via ALGEN method
- Asymptotic properties of Spearman's footrule and Gini's gamma in bivariate normal model
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- Revisiting the region determined by Spearman's \(\rho\) and Spearman's footrule \(\phi\)
- On the exact region determined by Spearman's \(\rho\) and Blest's measure of rank correlation \(\nu\) for bivariate extreme-value copulas
- On the exact regions determined by Kendall's tau and other concordance measures
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