Maximal non-exchangeability in dimension d

被引：7
|
作者：
Harder, Michael [1 ]
Stadtmueller, Ulrich [1 ]
机构：
[1] Univ Ulm, Inst Number Theory & Probabil Theory, D-89069 Ulm, Germany
来源：
JOURNAL OF MULTIVARIATE ANALYSIS | 2014年 / 124卷
关键词：
Copula; Symmetry; Shuffle of min; COPULAS;
D O I：
10.1016/j.jmva.2013.10.003
中图分类号：
O21 [概率论与数理统计]; C8 [统计学];
学科分类号：
020208 ; 070103 ; 0714 ;
摘要：
We give the maximal distance between a copula and itself when the argument is permuted for arbitrary dimension, generalizing a result for dimension two by Nelsen (2007), Klement and Mesiar (2006). Furthermore, we establish a subset of [0, 1](d) in which this bound might be attained. For each point in this subset we present a copula and a permutation, for which the distance in this point is maximal. In the process, we see that this subset depends on the dimension being even or odd. (C) 2013 Elsevier Inc. All rights reserved.
引用
收藏
页码：31 / 41
页数：11
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