On the lower bound of Spearman’s footrule

Fuchs Sebastian () and McCord Yann ()
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Fuchs Sebastian: Technische Universität Dortmund
McCord Yann: Technische Universität Dresden

Dependence Modeling, 2019, vol. 7, issue 1, 126-132

Abstract: Úbeda-Flores showed that the range of multivariate Spearman’s footrule for copulas of dimension d ≥ 2 is contained in the interval [−1/d, 1], that the upper bound is attained exclusively by the upper Fréchet-Hoeffding bound, and that the lower bound is sharp in the case where d = 2. The present paper provides characterizations of the copulas attaining the lower bound of multivariate Spearman’s footrule in terms of the copula measure but also via the copula’s diagonal section.

Keywords: copulas; measures of dependence; sparse copulas; Spearman’s footrule (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:vrs:demode:v:7:y:2019:i:1:p:126-132:n:5

DOI: 10.1515/demo-2019-0005

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