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已知Gini相关系数对Copula函数上界的改进

Improved Up Bounds on Copula with Gini's Coefficient
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摘要 如果已知Copula函数的某些信息,通常其Frechet-Hoeffding上下界则可以进一步收窄。R.B.Nelson分别在已知Kendall相关系数tau、Spearman相关系数rho、Blomqvist相关系数beta的条件下,给出了Copula函数的上下确界。鉴此,在给定Gini相关系数gamma的条件下,证明Copula函数的上界也可以进一步变窄,并给出上确界的表达式。 The Frechet--Hoeffding bounds on copulas can be improved when additional information about Copula function is known. R.B. Nelson obtains the pointwise best--possible bounds on Copula function with given Kendall＇s tau, Spearman＇s rho and Blomqvist＇s beta. With given Gini＇s measure of association gamma, we find improved up bounds on Copula function, and get the expression of the bounds.
作者 王惠惠 张玉川
机构地区 中国人民大学统计学院 中国中投证券
出处 《统计与信息论坛》 CSSCI 2012年第2期27-29,共3页 Journal of Statistics and Information
关键词 COPULA函数 Frechet-Hoeffding上下界 Gini相关系数 Copula function Frechet--Hoeffding bounds Gini＇s measure of association
分类号 O212 [理学—概率论与数理统计]
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参考文献6

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统计与信息论坛
2012年 第2期

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