A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas

Trutschnig Wolfgang () and Mroz Thomas ()
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Trutschnig Wolfgang: Department for Mathematics, University of Salzburg,Salzburg, Austria
Mroz Thomas: Department for Mathematics, University of Salzburg,Salzburg, Austria

Dependence Modeling, 2018, vol. 6, issue 1, 369-376

Abstract: We derive a new (lower) inequality between Kendall’s τ and Spearman’s ρ for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclude that the comonotonic and the product copula are the only Extreme-Value Copulas for which the well-known lower Hutchinson-Lai inequality is sharp.

Keywords: Concordance; Copula; Kendall tau; Spearman rho; Extreme Value Distribution (search for similar items in EconPapers)
Date: 2018
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:6:y:2018:i:1:p:369-376:n:21

DOI: 10.1515/demo-2018-0021

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