Maximal non-exchangeability in dimension d

Michael Harder and Ulrich Stadtmüller

Journal of Multivariate Analysis, 2014, vol. 124, issue C, 31-41

Abstract: We give the maximal distance between a copula and itself when the argument is permuted for arbitrary dimension, generalizing a result for dimension two by Nelsen (2007), Klement and Mesiar (2006). Furthermore, we establish a subset of [0,1]d in which this bound might be attained. For each point in this subset we present a copula and a permutation, for which the distance in this point is maximal. In the process, we see that this subset depends on the dimension being even or odd.

Keywords: Copula; Symmetry; Shuffle of min (search for similar items in EconPapers)
Date: 2014
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Citations: View citations in EconPapers (5)

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DOI: 10.1016/j.jmva.2013.10.003

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