Economics at your fingertips  

On the length of copula level curves

Maximilian Coblenz, Oliver Grothe, Manuela Schreyer and Wolfgang Trutschnig

Journal of Multivariate Analysis, 2018, vol. 167, issue C, 347-365

Abstract: Motivated by the well-known fact that the surface of copulas is closely related to common dependence measures such as Spearman’s rho, we investigate level curves of bivariate copulas and study their lengths. To this end, we establish the length profile LC(t) which maps each level t∈[0,1] to the length of the respective level curve. Some basic properties of the length profile, such as continuity and differentiability with respect to t, are examined. Based on the length profile, a measure ℓC is defined, which can be interpreted as the average level curve length. ℓC is a measure of association, it is, however, not a concordance measure in general. Some further, partially surprising properties, such as closed-form formulas of ℓC for completely dependent copulas, conclude the paper.

Keywords: Complete dependence; Copulas; Level curves; Measure of association (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

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:

Ordering information: This journal article can be ordered from
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Journal of Multivariate Analysis is currently edited by de Leeuw, J.

More articles in Journal of Multivariate Analysis from Elsevier
Bibliographic data for series maintained by Dana Niculescu ().

Page updated 2018-11-10
Handle: RePEc:eee:jmvana:v:167:y:2018:i:c:p:347-365