Symmetry and dependence properties within a semiparametric family of bivariate copulas
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Publication:4806545
DOI10.1080/10485250215322zbMATH Open1019.62046arXiv1103.5953OpenAlexW2962736271MaRDI QIDQ4806545FDOQ4806545
Authors: Cécile Amblard, Stéphane Girard 
Publication date: 28 September 2003
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Abstract: In this paper, we study a semiparametric family of bivariate copulas. The family is generated by an univariate function, determining the symmetry (radial symmetry, joint symmetry) and dependence property (quadrant dependence, total positivity, ...) of the copulas. We provide bounds on different measures of association (such as Kendall's Tau, Spearman's Rho) for this family and several choices of generating functions allowing to reach these bounds.
Full work available at URL: https://arxiv.org/abs/1103.5953
Recommendations
measure of associationpositive dependencedependence orderingssemiparametric family of bivariate copulas
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)
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Cited In (46)
- New asymmetric perturbations of FGM bivariate copulas and concordance preserving problems
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