Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1145681 | Journal of Multivariate Analysis | 2014 | 11 Pages |
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[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.
Related Topics
Physical Sciences and Engineering
Mathematics
Numerical Analysis
Authors
Michael Harder, Ulrich Stadtmüller,