On order statistics and Kendall’s tau

Sebastian Fuchs and Klaus D. Schmidt

Statistics & Probability Letters, 2021, vol. 169, issue C

Abstract: Using Kendall’s tau for copulas, we compare the degree of concordance of random variables with that of their order statistics. We prove a general inequality and show that this inequality is strict for every copula from the Fréchet family which is distinct from the upper Fréchet–Hoeffding bound.

Keywords: Order statistic; Copula; Kendall’s distribution function; Kendall’s tau; Probability of concordance (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (1)

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DOI: 10.1016/j.spl.2020.108972

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