Multivariate copulas: transformations, symmetry, order and measures of concordance. (English) Zbl 1321.60018
Summary: The present paper introduces a group of transformations on the collection of all multivariate copulas. The group contains a subgroup which is of particular interest since its elements preserve symmetry, the concordance order between two copulas and the value of every measure of concordance.
MSC:
60E05 | Probability distributions: general theory |
62E10 | Characterization and structure theory of statistical distributions |
62H20 | Measures of association (correlation, canonical correlation, etc.) |
20C99 | Representation theory of groups |
References:
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