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Copula.Rank.ChatterjeeCross

← Copula mathematical handbook

The polarized conditional-CDF functional #

This symmetric cross term gives the quadratic mixture formula for xi. Its diagonal is xi itself, its value at independence is zero, and pairing with comonotonicity gives Spearman's footrule.

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theorem ProbabilityTheory.Copula.integrable_conditionalCDF_mul (C D : Copula 2) (v : ↑unitInterval) :
MeasureTheory.Integrable (fun (u : ↑unitInterval) => C.conditionalCDF u v * D.conditionalCDF u v) MeasureTheory.volume
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theorem ProbabilityTheory.Copula.integrable_integral_conditionalCDF_mul (C D : Copula 2) :
MeasureTheory.Integrable (fun (v : ↑unitInterval) => ∫ (u : ↑unitInterval), C.conditionalCDF u v * D.conditionalCDF u v) MeasureTheory.volume
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noncomputable def ProbabilityTheory.Copula.chatterjeeCross (C D : Copula 2) :
ℝ

Symmetric polarization of xi, normalized so that pairing with independence is zero. Unlike xi itself, this cross functional can be negative.

Equations
Instances For
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    theorem ProbabilityTheory.Copula.chatterjeeCross_comm (C D : Copula 2) :
    C.chatterjeeCross D = D.chatterjeeCross C
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    @[simp]
    theorem ProbabilityTheory.Copula.chatterjeeCross_self (C : Copula 2) :
    C.chatterjeeCross C = C.chatterjeeXi
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    @[simp]
    theorem ProbabilityTheory.Copula.chatterjeeCross_independence (C : Copula 2) :
    C.chatterjeeCross (independence 2) = 0
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    @[simp]
    theorem ProbabilityTheory.Copula.chatterjeeCross_independence_left (C : Copula 2) :
    (independence 2).chatterjeeCross C = 0
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    theorem ProbabilityTheory.Copula.conditionalCDFDistanceSq_eq_cross (C D : Copula 2) :
    6 * C.conditionalCDFDistanceSq D = C.chatterjeeXi + D.chatterjeeXi - 2 * C.chatterjeeCross D
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    theorem ProbabilityTheory.Copula.conditionalCDF_comonotonic (v : ↑unitInterval) :
    (fun (u : ↑unitInterval) => (comonotonic 2).conditionalCDF u v) =ᵐ[MeasureTheory.volume] (Set.Iic v).indicator fun (x : ↑unitInterval) => 1
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    theorem ProbabilityTheory.Copula.integral_conditionalCDF_mul_comonotonic (C : Copula 2) (v : ↑unitInterval) :
    ∫ (u : ↑unitInterval), C.conditionalCDF u v * (comonotonic 2).conditionalCDF u v = C.cdf ![v, v]

    Pairing a conditional CDF with the deterministic increasing kernel recovers the diagonal.

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    @[simp]
    theorem ProbabilityTheory.Copula.chatterjeeCross_comonotonic (C : Copula 2) :
    C.chatterjeeCross (comonotonic 2) = C.spearmanFootrule