Relation between non-exchangeability and measures of concordance of copulas

Damjana Kokol Bukov\v{s}ek, Toma\v{z} Ko\v{s}ir, Bla\v{z} Moj\v{s}kerc and Matja\v{z} Omladi\v{c}

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Abstract: An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method proposed also seems to be new and may serve as a raw model for exploration of the relationship between a specific property of a copula and some of its measures of dependence structure, or perhaps the relationship between various measures of dependence structure themselves.

Date: 2019-09, Revised 2019-12
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Published in Journal of mathematical analysis and applications, vol. 487 (2020)

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