Generalized Gini’s mean difference through distortions and copulas, and related minimizing problems
Marco Capaldo,
Antonio Di Crescenzo and
Franco Pellerey
Statistics & Probability Letters, 2024, vol. 206, issue C
Abstract:
Given a random variable X and considered a family of its possible distortions, we define two new measures of distance between X and each its distortion. For these distance measures, which are extensions of the Gini’s mean difference, conditions are determined for the existence of a minimum, or a maximum, within specific families of distortions, generalizing some results presented in the recent literature.
Keywords: Distance metrics; Distortion function; Copula; Proportional hazard model; Proportional reversed hazard model; Gini’s mean difference (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:206:y:2024:i:c:s0167715223002055
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DOI: 10.1016/j.spl.2023.109981
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