Measures of association for approximating copulas

Abstract

This paper studies closed-form expressions for multiple association measures of copulas commonly used for approximation purposes, including Bernstein, shuffle--of--min, checkerboard and check--min copulas. In particular, closed-form expressions are provided for the recently popularized Chatterjee's $ξ$, which quantifies the dependence between two random variables. Given an absolutely continuous bivariate copula $C$ with TP$_2$ density and approximating $n\times n$-checkerboard copula $C_n$, we show that $ξ(C_n) \le ξ(C)$ with $ξ(C_n) \to ξ(C)$ as $n\to\infty$.