Convex concordance measures

Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F61988987%3A17610%2F22%3AA2302FUQ" target="_blank" >RIV/61988987:17610/22:A2302FUQ - isvavai.cz</a>
Result on the web
<a href="https://www.webofscience.com/wos/woscc/full-record/WOS:000812960300018" target="_blank" >https://www.webofscience.com/wos/woscc/full-record/WOS:000812960300018</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1016/j.fss.2022.01.001" target="_blank" >10.1016/j.fss.2022.01.001</a>

Result language
angličtina
Original language name
Convex concordance measures
Original language description
Based on the Scarsini axioms characterizing concordance measures between two random variables X and Y linked by a copula C, we introduce and discuss convex concordance measures. In their simplest form, they are dependent, except for a few degenerated cases, on a value of C at a single point (x, y) such that 0 < y < x < 21, and on the values at seven other points corresponding to this point, namely, (y, x), (x, 1 - y), (1 - y, x), (1 - x, y), (y, 1 - y), (1 - x, 1 - y) and (1 - y, 1 - x). Our approach covers, among others, such classical concordance measures as Spearman's rho, Gini's gamma, Blomqvist's beta, but also the concordance measures introduced by Fuchs and Schmidt. Though some of the introduced constructions are related to the results of Edwards, Mikusin`ski and Taylor, they offer a genuine motivation and provide a more transparent view.
Czech name
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Czech description
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Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
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OECD FORD branch
10103 - Statistics and probability

Project
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Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year
2022
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

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