Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference

DOI10.1515/DEMO-2020-0014MaRDI QIDQ828049zbMATH OpenOpenAlexFDO

Authors N. E. Zubov

Publication date 14 January 2021

Published in Dependence Modeling (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/2004.11770

zbMATH Keywords

Gini mean differenceenergy scoredependence uncertainty boundsspherically symmetric copula

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Exact distribution theory in statistics (62E15) Inequalities; stochastic orderings (60E15) Characterization and structure theory of statistical distributions (62E10) General considerations in statistical decision theory (62C05)

Abstract: The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expected distance of two independent samples. In this paper we study dependence uncertainty bounds for these quantities under the assumption that we know the marginals but do not know the dependence structure. We find some interesting sharp analytic bounds, where one of them is obtained for an unusual spherically symmetric copula. These results should help to better understand the sensitivity of these measures to misspecifications in the copula.

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Cited in

(5)

• Generalized Gini's mean difference through distortions and copulas, and related minimizing problems
• \(L_p\)-norm spherical copulas
• Polynomial bivariate copulas of degree five: characterization and some particular inequalities
• Coskewness under dependence uncertainty
• New multivariate Gini's indices

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