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arXiv · 2501.06915

Best-possible bounds on the set of copulas with a given value of Gini's gamma

Manuel Úbeda-Flores
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Abstract

In this note, pointwise best-possible (lower and upper) bounds on the set of copulas with a given value of the Gini's gamma coefficient are established. It is shown that, unlike the best-possible bounds on the set of copulas with a given value of other known measures such as Kendall's tau, Spearman's rho or Blomqvist's beta, the bounds found are not necessarily copulas, but proper quasi-copulas.

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Manuel Úbeda-Flores. 2025-01-12. Best-possible bounds on the set of copulas with a given value of Gini's gamma. https://doi.org/10.22111/ijfs.2022.7155

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