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Best-possible bounds on the set of copulas with a given value of Spearman's footrule

journal contribution
posted on 2022-01-30, 00:00 authored by Gleb BeliakovGleb Beliakov, E de Amo, J Fernández-Sánchez, M Úbeda-Flores
In this paper we find pointwise best-possible bounds on the set of copulas with a given value of the Spearman's footrule coefficient. We show that the lower bound is always a copula but, unlike the bounds on sets of copulas with a given value of other measures, such as Kendall's tau, Spearman's rho and Blonqvist's beta, the upper bound can be a copula or a proper quasi-copula. We characterised both of these cases.

History

Journal

Fuzzy sets and systems

Pagination

1-15

Location

Amsterdam, The Netherlands

ISSN

0165-0114

Language

eng

Publication classification

C1 Refereed article in a scholarly journal

Publisher

Elsevier