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On the lower bound of Spearman’s footrule

On the lower bound of Spearman’s footrule AbstractÚbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is sharp in the case where d = 2. The present paper provides characterizations of the copulas attaining the lower bound of multivariate Spearman’s footrule in terms of the copula measure but also via the copula’s diagonal section. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Dependence Modeling de Gruyter

On the lower bound of Spearman’s footrule

Dependence Modeling , Volume 7 (1): 7 – Jan 1, 2019

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Publisher
de Gruyter
Copyright
© 2019 Sebastian Fuchs et al., published by De Gruyter
ISSN
2300-2298
eISSN
2300-2298
DOI
10.1515/demo-2019-0005
Publisher site
See Article on Publisher Site

Abstract

AbstractÚbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is sharp in the case where d = 2. The present paper provides characterizations of the copulas attaining the lower bound of multivariate Spearman’s footrule in terms of the copula measure but also via the copula’s diagonal section.

Journal

Dependence Modelingde Gruyter

Published: Jan 1, 2019

References