Characterizations of Copulas Attaining the Bounds of Multivariate Kendall’s Tau

Sebastian Fuchs (), Yann McCord () and Klaus D. Schmidt ()
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Sebastian Fuchs: Free University of Bozen–Bolzano
Yann McCord: Technische Universität Dresden
Klaus D. Schmidt: Technische Universität Dresden

Journal of Optimization Theory and Applications, 2018, vol. 178, issue 2, No 6, 424-438

Abstract: Abstract Kendall’s tau is one of the most popular measures of concordance, and even in the multivariate case exact upper and lower bounds of Kendall’s tau are known. The present paper provides characterizations of the copulas attaining the bounds of multivariate Kendall’s tau, mainly in terms of the copula measure, but also via Kendall’s distribution function and for shuffles of copulas.

Keywords: Kendall’s tau; Measures of concordance; Copulas; Shuffles of copulas; Countermonotonicity; 49J99; 49K99 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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DOI: 10.1007/s10957-018-1285-6

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