Symmetry and dependence properties within a semiparametric family of bivariate copulas

DOI10.1080/10485250215322MaRDI QIDQ4806545zbMATH OpenOpenAlexFDO

Authors Cécile Amblard, Stéphane Girard

Publication date 28 September 2003

Published in Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1103.5953

zbMATH Keywords

measure of associationpositive dependencedependence orderingssemiparametric family of bivariate copulas

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20)

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.

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Cited in

(46)

• Eigenanalysis on a bivariate covariance kernel
• A nonparametric symmetry test for absolutely continuous bivariate copulas
• Concomitants of generalized order statistics from Huang-Kotz Farlie-Gumble-Morgenstern bivariate distribution: some information measures
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