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Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas

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  • Antonio Dalessandro

    (University College London)

  • Gareth W. Peters

    (Heriot-Watt University)

Abstract

There is now an increasingly large number of proposed concordance measures available to capture, measure and quantify different notions of dependence in stochastic processes. However, evaluation of concordance measures to quantify such types of dependence for different copula models can be challenging. In this work, we propose a class of new methods that involves a highly accurate and computationally efficient procedure to evaluate concordance measures for a given copula, applicable even when sampling from the copula is not easily achieved. In addition, this then allows us to reconstruct maps of concordance measures locally in all regions of the state space for any range of copula parameters. We believe this technique will be a valuable tool for practitioners to understand better the behaviour of copula models and associated concordance measures expressed in terms of these copula models.

Suggested Citation

  • Antonio Dalessandro & Gareth W. Peters, 2020. "Efficient and Accurate Evaluation Methods for Concordance Measures via Functional Tensor Characterizations of Copulas," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 1089-1124, September.
    • Handle: RePEc:spr:metcap:v:22:y:2020:i:3:d:10.1007_s11009-019-09752-2
    DOI: 10.1007/s11009-019-09752-2
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    References listed on IDEAS

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    Cited by:

    1. Martynas Manstavičius, 2022. "Diversity of Bivariate Concordance Measures," Mathematics, MDPI, vol. 10(7), pages 1-18, March.

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