The application of multi-attribute utility theory whose aggregation process is based on the Choquet integral requires the prior identification of a capacity. The main approaches to capacity identification proposed in the literature are reviewed and their advantages and inconveniences are discussed. All the reviewed methods have been implemented within the Kappalab R package. Their application is illustrated on a detailed example.
The copula-based modeling of multivariate distributions with continuous margins is presented as a succession of rank-based tests: a multivariate test of randomness followed by a test of mutual independence and a series of goodness-of-fit tests. All the tests under consideration are based on the empirical copula, which is a nonparametric rank-based estimator of the true unknown copula. The principles of the tests are recalled and their implementation in the copula R package is briefly described. Their use in the construction of a copula model from data is thoroughly illustrated on real insurance and financial data.
In the framework of cooperative game theory, the concept of interaction index, which can be regarded as an extension of that of value, has been recently proposed to measure the interaction phenomena among players. Axiomatizations of two classes of interaction indices, namely probabilistic interaction indices and cardinal-probabilistic interaction indices, generalizing probabilistic values and semivalues, respectively, are first proposed. The axioms we utilize are based on natural generalizations of axioms involved in the axiomatizations of values. In the second half of the paper, existing instances of cardinal-probabilistic interaction indices encountered thus far in the literature are also axiomatized. 2005 Elsevier Inc. All rights reserved. JEL classification: C71; C44
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