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Simple characterizations of comonotonicity and countermonotonicity by extremal correlations
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| Document type | Document de travail (Working Paper) |
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| Access type | Accès libre |
| Publication date | 2003 |
| Language | Anglais |
| Collection | STAT Discussion Paper - 0309 |
| Affiliation | UCL - EUEN/STAT - Institut de statistique |
| Keywords | Comonotonicity, Countermonotonicity, Fr ́echet spaces, Fr ́echet bounds, measures of association |
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[boreal:16989] | Simple characterizations of comonotonicity and countermonotonicity by extremal correlations | |
| Bibliographic reference | Denuit, Michel ; Dhaene, Jan. Simple characterizations of comonotonicity and countermonotonicity by extremal correlations. STAT Discussion Paper ; 0309 (2003) |
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| Permanent URL | http://hdl.handle.net/2078.1/114644 |