• DocumentCode
    3026248
  • Title

    Constructing Copulas on the Parabolic Boundary of Kendall´s Tau-Spearman´s Rho Region

  • Author

    Zhang, Zhiqiang ; Yang, Xiaoyi

  • Author_Institution
    Sch. of Econ., Xiamen Univ., Xiamen, China
  • fYear
    2010
  • fDate
    23-24 Oct. 2010
  • Firstpage
    324
  • Lastpage
    327
  • Abstract
    Copula is an effective method that describes the joint distribution of dependent random variables. Meanwhile, Kendall´s tau and Spearman´s rho are two common and important measures measuring the dependence for random variables. The expression form of Kendall´s tau - Spearman´s rho region has been given and every point on the linear portion of the boundary is attainable. However, it is not determined that other points could be attainable on the parabolic boundary, although countable points could be attainable because of a known family of Copulas at present. Based on constructing a family of Copulas for which Kendall´s tau and Spearman´s rho lie on the countable points of parabolic boundary by convex combination, and this paper obtains another new family of Copulas for which Kendall´s tau and Spearman´s rho lie on points of parabolic boundary by ordinal sum.
  • Keywords
    random processes; set theory; statistical analysis; Copulas; Kendall´s tau-Spearman´s rho region; convex combination; ordinal sum; parabolic boundary; random variables; Artificial neural networks; Cryptography; Distribution functions; Educational institutions; Electronic mail; Joints; Random variables; Copulas; ordinal sum; parabolic boundary;
  • fLanguage
    English
  • Publisher
    ieee
  • Conference_Titel
    Cryptography and Network Security, Data Mining and Knowledge Discovery, E-Commerce & Its Applications and Embedded Systems (CDEE), 2010 First ACIS International Symposium on
  • Conference_Location
    Qinhuangdao
  • Print_ISBN
    978-1-4244-9595-5
  • Type

    conf

  • DOI
    10.1109/CDEE.2010.94
  • Filename
    5759355