Estimators for a Class of Bivariate Measures of Concordance for Copulas

2017/01/17 by Sebastian Fuchs, Fuchs, Sebastian, Klaus D. Schmidt +1
Economics, Econometrics and Finance · Mathematics · #62H20 #FOS: Mathematics #Financial Risk and Volatility Modeling #Market Dynamics and Volatility #Statistical Methods and Inference #Statistics Theory (math.ST) #math.ST #msc:62H20 #stat.TH

paper · pdf · doi:10.48550/arxiv.1701.04582

13 pages

arxiv created 2017/01/17 · openalex publication_date 2017/01/17 · arxiv updated 2017/01/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

In the present paper we propose and study estimators for a wide class of bivariate measures of concordance for copulas. These measures of concordance are generated by a copula and generalize Spearman's rho and Gini's gamma. In the case of Spearman's rho and Gini's gamma the estimators turn out to be the usual sample versions of these measures of concordance.

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