Best-possible bounds on the set of copulas with a given value of Gini's gamma
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Úbeda Flores, Manuel![University of Almería authority University of Almería authority](/themes/Mirage2/images/autoridades/autoridad.png)
Date
2022Abstract
In this note, pointwise best-possible (lower and upper) bounds on the set of copulas with a given value of the Gini’s
gamma coefficient are established. It is shown that, unlike the best-possible bounds on the set of copulas with a given
value of other known measures such as Kendall’s tau, Spearman’s rho or Blomqvist’s beta, the bounds found are not
necessarily copulas, but proper quasi-copulas.
Palabra/s clave
Bounds
copula
Gini’s gamma
quasi-copula