CMStatistics 2018: Start Registration
View Submission - CMStatistics
Title: On extreme value copulas and concordance measures Authors:  Piotr Jaworski - University of Warsaw (Poland) [presenting]
Abstract: The concordance measures, like for example Kendall tau, Spearman rho or Blomquist beta, are the main numerical characterization of Bivariate Extreme Value (BEV) copulas. We will provide the bounds for the sets of BEV copulas with a fixed concordance measure. Furthermore, we are going to show that for any two continuous symmetric concordance measures, $\kappa_1$ and $\kappa_2$, there exists a mapping $\Psi$, such that the sets of BEV copulas with $\kappa_1=x$ and $\kappa_2=\Psi(x)$, ``almost'' coincide with each other.