在斯皮尔曼脚的下界

IF 0.6 Q4 STATISTICS & PROBABILITY

Dependence Modeling Pub Date : 2019-01-01 DOI:10.1515/demo-2019-0005

S. Fuchs, Yann McCord

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引用次数: 5

摘要

摘要Úbeda-Flores证明了维数d≥2的系词的多元Spearman足迹的范围包含在区间[-1/d，1]中，上界仅由Fréchet-Hoeffding上界获得，并且在d=2的情况下下界是尖锐的。本文根据copula测度以及copula的对角截面，给出了copula达到多元Spearman足迹下界的特征。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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On the lower bound of Spearman’s footrule

Abstract Úbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is sharp in the case where d = 2. The present paper provides characterizations of the copulas attaining the lower bound of multivariate Spearman’s footrule in terms of the copula measure but also via the copula’s diagonal section.

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来源期刊

Dependence Modeling STATISTICS & PROBABILITY-

CiteScore

1.00

自引率

0.00%

发文量

审稿时长

12 weeks

期刊介绍： The journal Dependence Modeling aims at providing a medium for exchanging results and ideas in the area of multivariate dependence modeling. It is an open access fully peer-reviewed journal providing the readers with free, instant, and permanent access to all content worldwide. Dependence Modeling is listed by Web of Science (Emerging Sources Citation Index), Scopus, MathSciNet and Zentralblatt Math. The journal presents different types of articles: -"Research Articles" on fundamental theoretical aspects, as well as on significant applications in science, engineering, economics, finance, insurance and other fields. -"Review Articles" which present the existing literature on the specific topic from new perspectives. -"Interview articles" limited to two papers per year, covering interviews with milestone personalities in the field of Dependence Modeling. The journal topics include (but are not limited to):　 -Copula methods -Multivariate distributions -Estimation and goodness-of-fit tests -Measures of association -Quantitative risk management -Risk measures and stochastic orders -Time series -Environmental sciences -Computational methods and software -Extreme-value theory -Limit laws -Mass Transportations