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Measures of concordance determined by -invariant measures on
Author(s):
H.
H.
Edwards;
P.
Mikusinski;
M.
D.
Taylor
Journal:
Proc. Amer. Math. Soc.
133
(2005),
1505-1513.
MSC (2000):
Primary 62H05, 62H20
Posted:
November 19, 2004
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Abstract:
A measure, , on is said to be -invariant if its value for any Borel set is invariant with respect to the symmetries of the unit square. A function, , generated in a certain way by a measure, , on is shown to be a measure of concordance if and only if the generating measure is positive, regular, -invariant, and satisfies certain inequalities. The construction examined here includes Blomqvist's beta as a special case.
References:
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- 1.
- Carley, H., and Taylor, M.D., A new Proof of Sklar's Theorem, Proceedings of the Conference on Distributions with Given Marginals and Statistical Modelling, (eds: C.M. Cuadras, J. Fostiana, and J.A. Rodriguez-Lallena), Barcelona, 2000, 29-34.
- 2.
- Darsow, W.F., Nguyen, B., and Olsen, E.T., Copulas and Markov Processes, Illinois Journal of Mathematics, vol. 36, number 4, (1992), 600-642. MR 1215798 (94h:60126)
- 3.
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Additional Information:
H.
H.
Edwards
Affiliation:
Department of Mathematics, University of Central Florida, P.O. Box 161364, Orlando, Florida 32816-1364
Email:
newcopulae@yahoo.com
P.
Mikusinski
Affiliation:
Department of Mathematics, University of Central Florida, P.O. Box 161364, Orlando, Florida 32816-1364
Email:
piotrm@mail.ucf.edu
M.
D.
Taylor
Affiliation:
Department of Mathematics, University of Central Florida, P.O. Box 161364, Orlando, Florida 32816-1364
Email:
mtaylor@pegasus.cc.ucf.edu
DOI:
10.1090/S0002-9939-04-07641-5
PII:
S 0002-9939(04)07641-5
Received by editor(s):
August 1, 2003
Received by editor(s) in revised form:
November 11, 2003 and January 13, 2004
Posted:
November 19, 2004
Communicated by:
Richard C. Bradley
Copyright of article:
Copyright
2004,
American Mathematical Society
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