Copulas and the Information Management
Keywords:
Copula, (generalized) Archimedean copula, Kendall’s tau, information management.Abstract
Copula is introduced as a tool for understanding
the dependence structure among random variables. Copulas
make a link between multivariate joint distributions and
univariate marginal distributions, and provide a flexible way to
describe nonlinear dependence; copulas therefore have been
applied in many fields. Here we deal with a family of
generalized Archimedean (GA) copulas. In terms of these GA
copulas, we derive the formula for the Kendall’s tau, which is a
well known measure of concordance. Applications to the
management are discussed.
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