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

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

  • 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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