Extremes of nonexchangeability

Statistische Hefte - Tập 48 - Trang 329-336 - 2007
Roger B. Nelson1
1Department of Mathemaical Sciences, Lewis & Clark College, Portland, USA

Tóm tắt

For identically distributed random variables X and Y with joint distribution function H, we show that the supremum of |H(x,y)-H(y,x)| is 1/3. Using copulas, we define a measure of nonexchangeability, and study maximally nonexchangeable random variables and copulas. In particular, we show that maximally nonexchangeable random variables are negatively correlated in the sense of Spearman's rho.

Tài liệu tham khảo

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