Ranking of qualitative decision options using copulas

Biljana Mileva-Boshkoska () and Marko Bohanec ()
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Biljana Mileva-Boshkoska: Jožef Stefan Institute
Marko Bohanec: Jožef Stefan Institute

A chapter in Operations Research Proceedings 2011, 2012, pp 103-108 from Springer

Abstract: Abstract We study the ranking of classified multi-attribute qualitative options. To obtain a full ranking of options within classes, qualitative options are mapped into quantitative ones. Current approaches, such as the Qualitative-Quantitative (QQ) method, use linear functions for ranking, hence performing well for linear and monotone options; however QQ underperforms in cases of non-linear and nonmonotone options. To address this problem, we propose a new QQ-based method in which we introduce copulas as an aggregation utility instead of linear functions. In addition, we analyze the behavior of different hierarchical structures of bivariate copulas to model the non-linear dependences among attributes and classes.

Keywords: Archimedean Copula; Linear Regression Function; Clayton Copula; Copula Family; Inverse Cumulative Distribution Function (search for similar items in EconPapers)
Date: 2012
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Persistent link: https://EconPapers.repec.org/RePEc:spr:oprchp:978-3-642-29210-1_17

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DOI: 10.1007/978-3-642-29210-1_17

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