Kybernetika 50 no. 5, 725-743, 2014

Multivariate copulas: Transformations, symmetry, order and measures of concordance

Sebastian FuchsDOI: 10.14736/kyb-2014-5-0725

Abstract:

The present paper introduces a group of transformations on the collection of all multivariate copulas. The group contains a subgroup which is of particular interest since its elements preserve symmetry, the concordance order between two copulas and the value of every measure of concordance.

Keywords:

symmetry, transformations, measures of concordance, multivariate copulas, order

Classification:

60E05, 62E10, 62H20, 20C99

paper.pdf

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