徐付霞, 王英杰. 给定不可交换性度量的三类Copula界的比较[J]. 应用概率统计, 2019, 35(5): 469-479. DOI: 10.3969/j.issn.1001-4268.2019.05.003
引用本文: 徐付霞, 王英杰. 给定不可交换性度量的三类Copula界的比较[J]. 应用概率统计, 2019, 35(5): 469-479. DOI: 10.3969/j.issn.1001-4268.2019.05.003
shu
XU Fuxia, WANG Yingjie. A Comparison of Bounds on Three Sets of Copulas with Given Degree of Non-exchangeability[J]. Chinese Journal of Applied Probability and Statistics, 2019, 35(5): 469-479. DOI: 10.3969/j.issn.1001-4268.2019.05.003
Citation: XU Fuxia, WANG Yingjie. A Comparison of Bounds on Three Sets of Copulas with Given Degree of Non-exchangeability[J]. Chinese Journal of Applied Probability and Statistics, 2019, 35(5): 469-479. DOI: 10.3969/j.issn.1001-4268.2019.05.003
shu

给定不可交换性度量的三类Copula界的比较

A Comparison of Bounds on Three Sets of Copulas with Given Degree of Non-exchangeability

    摘要
  • 摘要: 给出当Copula的不可交换性度量为t=3/4,t=3/5和t=3/6=1/2时的最优界, 研究了这三类copula的结构,计算了最优下上界间的距离, 说明它们有效地改善了Fr\'echet-Hoeffding上下界.

     

    Abstract: We establish best-possible supremum bounds of copulas with the degree of non-exchangeabilityt=3/4, t=3/5 and t=3/6=1/2, and study the structures of these sets of copulas. The volumes between the upper and lower bounds are calculated to illustrate that the supremum bounds are specific practical and effective in narrowing the Fr\'echet-Hoeffding bounds.

     

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