Best-possible bounds on the set of copulas with given degree of non-exchangeability

摘要

We establish best-possible bounds on the set of quasi-copulas with given degree of non-exchangeability. These bounds are shown to be best-possible bounds as well for the set of copulas with given degree of non-exchangeability, and, consequently, also on the set of bivariate distribution functions of continuous random variables with given margins and given degree of non-exchangeability. Non-exchangeability of a (quasi-)copula is measured in the sense of Nelsen, i.e. proportional to the maximal absolute difference between this (quasi-)copula and its transpose.