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Measures of non-exchangeability for bivariate random vectors

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  • Fabrizio Durante
  • Erich Klement
  • Carlo Sempi
  • Manuel Úbeda-Flores

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  • Fabrizio Durante & Erich Klement & Carlo Sempi & Manuel Úbeda-Flores, 2010. "Measures of non-exchangeability for bivariate random vectors," Statistical Papers, Springer, vol. 51(3), pages 687-699, September.
    • Handle: RePEc:spr:stpapr:v:51:y:2010:i:3:p:687-699
    DOI: 10.1007/s00362-008-0153-0
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    References listed on IDEAS

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    1. Alsina, Claudi & Nelsen, Roger B. & Schweizer, Berthold, 1993. "On the characterization of a class of binary operations on distribution functions," Statistics & Probability Letters, Elsevier, vol. 17(2), pages 85-89, May.
    2. Nelsen, Roger B. & Molina, José Juan Quesada & Lallena, José Antonio Rodríguez & Flores, Manuel Úbeda, 2004. "Best-possible bounds on sets of bivariate distribution functions," Journal of Multivariate Analysis, Elsevier, vol. 90(2), pages 348-358, August.
    3. Salmon, Mark & Schleicher, Christoph & Hurd, Matthew, 2005. "Using Copulas to Construct Bivariate Foreign Exchange Distributions with an Application to the Sterling Exchange Rate Index," CEPR Discussion Papers 5114, C.E.P.R. Discussion Papers.
    4. Roger Nelsen, 2007. "Extremes of nonexchangeability," Statistical Papers, Springer, vol. 48(4), pages 695-695, October.
    5. Fabrizio Durante, 2009. "Construction of non-exchangeable bivariate distribution functions," Statistical Papers, Springer, vol. 50(2), pages 383-391, March.
    6. Genest, C. & Quesada Molina, J. J. & Rodriguez Lallena, J. A. & Sempi, C., 1999. "A Characterization of Quasi-copulas," Journal of Multivariate Analysis, Elsevier, vol. 69(2), pages 193-205, May.
    7. Marco Scarsini, 1984. "On measures of concordance," Post-Print hal-00542380, HAL.
    8. Edward Frees & Emiliano Valdez, 1998. "Understanding Relationships Using Copulas," North American Actuarial Journal, Taylor & Francis Journals, vol. 2(1), pages 1-25.
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    Citations

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    Cited by:

    1. Hua, Lei & Polansky, Alan & Pramanik, Paramahansa, 2019. "Assessing bivariate tail non-exchangeable dependence," Statistics & Probability Letters, Elsevier, vol. 155(C), pages 1-1.
    2. J. Rosco & Harry Joe, 2013. "Measures of tail asymmetry for bivariate copulas," Statistical Papers, Springer, vol. 54(3), pages 709-726, August.
    3. Arturo Erdely & José González-Barrios, 2010. "A nonparametric symmetry test for absolutely continuous bivariate copulas," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 19(4), pages 541-565, November.
    4. Azam Dehgani & Ali Dolati & Manuel Úbeda-Flores, 2013. "Measures of radial asymmetry for bivariate random vectors," Statistical Papers, Springer, vol. 54(2), pages 271-286, May.
    5. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2019. "Relation between Blomqvist's beta and other measures of concordance of copulas," Papers 1911.03467, arXiv.org.
    6. Werner Hürlimann, 2017. "A comprehensive extension of the FGM copula," Statistical Papers, Springer, vol. 58(2), pages 373-392, June.
    7. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2019. "Relation between non-exchangeability and measures of concordance of copulas," Papers 1909.06648, arXiv.org, revised Dec 2019.
    8. Pavel Krupskii, 2017. "Copula-based measures of reflection and permutation asymmetry and statistical tests," Statistical Papers, Springer, vol. 58(4), pages 1165-1187, December.
    9. Tarik Bahraoui & Nikolai Kolev, 2021. "New Measure of the Bivariate Asymmetry," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 83(1), pages 421-448, February.
    10. Papini Pier Luigi, 2015. "Bivariate copulas, norms and non-exchangeability," Dependence Modeling, De Gruyter, vol. 3(1), pages 1-7, November.
    11. Karl Siburg & Pavel Stoimenov, 2011. "Symmetry of functions and exchangeability of random variables," Statistical Papers, Springer, vol. 52(1), pages 1-15, February.
    12. Harder, Michael & Stadtmüller, Ulrich, 2014. "Maximal non-exchangeability in dimension d," Journal of Multivariate Analysis, Elsevier, vol. 124(C), pages 31-41.
    13. Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2018. "Non-exchangeability of copulas arising from shock models," Papers 1808.09698, arXiv.org, revised Jul 2019.

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