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