On the exact region determined by Spearman's rho and Spearman's footrule

Kokol-Bukovšek, Damjana (author), Stopar, Nik (author)

We determine the lower bound for possible values of Spearman’s rho of a bivariate copula given that the value of its Spearman’s footrule is known and show that this bound is always attained. We also give an estimate for the exact upper bound and prove that the estimate is exact for some but not all values of Spearman’s footrule. Nevertheless, we show that the estimate is quite tight.

• Language: English
• Keywords: copula, dependence concepts, supremum and infimum of a set of copulas, measures of concordance, quasi-copula, local bounds, Spearman’s rho, Spearman’s footrule
• Work type: Article
• Typology: 1.01 - Original Scientific Article
• Organization: EF - School of Economics and Business; FGG - Faculty of Civil and Geodetic Engineering
• Publication status: Published
• Publication version: Version of Record
• Year: 2024
• Number of pages: 23 str.
• Numbering: Vol. 437, art. 115463
• PID: 20.500.12556/RUL-152899
• UDC: 519.2
• ISSN on article: 0377-0427
• DOI: 10.1016/j.cam.2023.115463
• COBISS.SI-ID: 159892227
• Publication date in RUL: 11.12.2023

Record is a part of a journal

• Title: Journal of computational and applied mathematics
• Shortened title: J. comput. appl. math.
• Publisher: Elsevier
• ISSN: 0377-0427
• COBISS.SI-ID: 27496960

Licences

• License: CC BY-NC-ND 4.0, Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International
• Link: http://creativecommons.org/licenses/by-nc-nd/4.0/
• Description: The most restrictive Creative Commons license. This only allows people to download and share the work for no commercial gain and for no other purposes.

Secondary language

• Language: Slovenian
• Keywords: kopula, koncepti odvisnosti, supremum in infimum množice kopul, mere skladnosti, kvazikopula, lokalne meje

Projects

• Funder: ARRS - Slovenian Research Agency
• Project number: P1-0222
• Name: Algebra, teorija operatorjev in finančna matematika