Extreme copulas and the comparison of ordered lists

We introduce two extreme methods to pairwisely compare ordered lists of the same length, viz. the comonotonic and the countermonotonic comparison method, and show that these methods are, respectively, related to the copula TM (the minimum operator) and the L ukasiewicz copula TL used to join margina...

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Veröffentlicht in:Theory and decision 2007-05, Vol.62 (3), p.195-217
Hauptverfasser: DE SCHUYMER, B, DE MEYER, H, DE BAETS, B
Format: Artikel
Sprache:eng
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Zusammenfassung:We introduce two extreme methods to pairwisely compare ordered lists of the same length, viz. the comonotonic and the countermonotonic comparison method, and show that these methods are, respectively, related to the copula TM (the minimum operator) and the L ukasiewicz copula TL used to join marginal cumulative distribution functions into bivariate cumulative distribution functions. Given a collection of ordered lists of the same length, we generate by means of TM and TL two probabilistic relations QM and QL and identify their type of transitivity. Finally, it is shown that any probabilistic relation with rational elements on a 3-dimensional space of alternatives which possesses one of these types of transitivity, can be generated by three ordered lists and at least one of the two extreme comparison methods. [PUBLICATION ABSTRACT]
ISSN:0040-5833
1573-7187
DOI:10.1007/s11238-006-9012-4