Showing 11 - 20 of 28
Persistent link: https://www.econbiz.de/10007793551
Persistent link: https://www.econbiz.de/10009517648
We show that Spearman's rho is a measure of average positive (and negative) quadrant dependence, and that Kendall's tau is a measure of average total positivity (and reverse regularity) of order two.
Persistent link: https://www.econbiz.de/10005313815
Persistent link: https://www.econbiz.de/10005380577
The copula for a bivariate distribution functionH(x, y) with marginal distribution functionsF(x) andG(y) is the functionCdefined byH(x, y)=C(F(x), G(y)).Cis called Archimedean ifC(u, v)=[phi]-1([phi](u)+[phi](v)), where[phi]is a convex decreasing continuous function on (0, 1]...
Persistent link: https://www.econbiz.de/10005152828
Persistent link: https://www.econbiz.de/10008237887
Persistent link: https://www.econbiz.de/10008890294
This paper studies the problem of finding best-possible upper bounds on the Value-at-Risk for a function of two random variables when the marginal distributions are known and additional nonparametric information on the dependence structure, such as the value of a measure of association, is...
Persistent link: https://www.econbiz.de/10004973681
The fundamental best-possible bounds inequality for bivariate distribution functions with given margins is the Frechet-Hoeffding inequality: If H denotes the joint distribution function of random variables X and Y whose margins are F and G, respectively, then...
Persistent link: https://www.econbiz.de/10005006416
We characterize the class of binary operations \/o on distribution functions which are both induced pointwise, in the sense that the value of \/o(F, G) at g is a function of F(t) and G(t) (e.g. mixtures), and derivable from functions on random variables (e.g. convolution).
Persistent link: https://www.econbiz.de/10005223628