Sharp Bounds on a Class of Copulas with known Values at Several Points

DOI10.1080/03610926.2011.607529zbMath1319.62034OpenAlexW2054638986MaRDI QIDQ2839080

Soltan Mohammad Sadooghi-Alvandi, H. A. Mardani-Fard, Zohreh Shishebor

Publication date: 4 July 2013

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610926.2011.607529

zbMATH Keywords

copulaKendall's tauSpearman's rhodiagonal sectionquasi-copulabest-possible bounds

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Approximations to statistical distributions (nonasymptotic) (62E17)

Related Items (5)

Copulas with given values on the tails ⋮ Multivariate copulas with given values at two arbitrary points ⋮ A hitchhiker's guide to quasi-copulas ⋮ Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence ⋮ VaR bounds for joint portfolios with dependence constraints

Cites Work

• An introduction to copulas.
• On the construction of copulas and quasi-copulas with given diagonal sections
• Best-possible bounds for the distribution of a sum -- a problem of Kolmogorov
• A characterization of quasi-copulas
• Best-possible bounds on sets of bivariate distribution functions
• On a family of copulas constructed from the diagonal section
• Bounds on Bivariate Distribution Functions with Given Margins and Known Values at Several Points
• A Comparison of Bounds on Sets of Joint Distribution Functions Derived from Various Measures of Association
• BOUNDS ON BIVARIATE DISTRIBUTION FUNCTIONS WITH GIVEN MARGINS AND MEASURES OF ASSOCIATION

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