Dependence uncertainty bounds for the energy score and the multivariate Gini mean difference

Bernard Carole () and Alfred Müller
Additional contact information
Bernard Carole: Department of Accounting, Law and Finance, Grenoble Ecole de Management, Grenoble, France, Faculty of Economics, Vrije Universiteit Brussel, Brussels, Belgium

Dependence Modeling, 2020, vol. 8, issue 1, 239-253

Abstract: The energy distance and energy scores became important tools in multivariate statistics and multivariate probabilistic forecasting in recent years. They are both based on the expected distance of two independent samples. In this paper we study dependence uncertainty bounds for these quantities under the assumption that we know the marginals but do not know the dependence structure. We find some interesting sharp analytic bounds, where one of them is obtained for an unusual spherically symmetric copula. These results should help to better understand the sensitivity of these measures to misspecifications in the copula.

Keywords: dependence uncertainty bounds; energy score; Gini mean difference; spherically symmetric copula (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://doi.org/10.1515/demo-2020-0014 (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:8:y:2020:i:1:p:239-253:n:4

DOI: 10.1515/demo-2020-0014

Access Statistics for this article

Dependence Modeling is currently edited by Giovanni Puccetti

More articles in Dependence Modeling from De Gruyter
Bibliographic data for series maintained by Peter Golla ().