B0465
Title: On left truncation invariant copulas with fixed Kendall tau
Authors: Piotr Jaworski - University of Warsaw (Poland) [presenting]
Abstract: The concordance measures, like for example Kendall tau, are the main numerical characterizations of bivariate copulas. In case of copulas invariant with respect to left truncation (conditioning) of its first representer (LTI), the concordance ordering is fully determined in terms of ordinary differential equations. Basing on this we provide the formulas for the copulas being the lower and upper bounds for LTI copulas with given Kendal tau.
