Measures of concordance determined by 𝐷₄-invariant measures on (0,1)²

Author:

Edwards H.,Mikusiński P.,Taylor M.

Abstract

A measure, μ \mu , on ( 0 , 1 ) 2 (0,1)^2 is said to be D 4 D_4 -invariant if its value for any Borel set is invariant with respect to the symmetries of the unit square. A function, κ \kappa , generated in a certain way by a measure, μ \mu , on ( 0 , 1 ) 2 (0,1)^2 is shown to be a measure of concordance if and only if the generating measure is positive, regular, D 4 D_4 -invariant, and satisfies certain inequalities. The construction examined here includes Blomqvist’s beta as a special case.

Publisher

American Mathematical Society (AMS)

Subject

Applied Mathematics,General Mathematics

Reference7 articles.

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2. Copulas and Markov processes;Darsow, William F.;Illinois J. Math.,1992

3. Edwards, H.H., Mikusiński, P., and Taylor M.D., Measures of Concordance Determined by 𝐷₄-Invariant Copulas, to appear.

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5. The Fréchet bounds revisited;Mikusiński, P.;Real Anal. Exchange,1991

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