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
Link To Document :
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