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

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-La...

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Bibliographic Details
Main Authors:	Trutschnig Wolfgang, Mroz Thomas
Format:	Article
Language:	English
Published:	De Gruyter 2018-12-01
Series:	Dependence Modeling
Subjects:	concordance copula kendall tau spearman rho extreme value distribution 60e05 62e10 28a12 62h05
Online Access:	https://doi.org/10.1515/demo-2018-0021

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spelling	doaj-848c14566a2f4fb495346b164d55f8742021-10-02T19:14:53ZengDe GruyterDependence Modeling2300-22982018-12-016136937610.1515/demo-2018-0021demo-2018-0021A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value CopulasTrutschnig Wolfgang0Mroz Thomas1Department for Mathematics, University of Salzburg,Salzburg, AustriaDepartment for Mathematics, University of Salzburg,Salzburg, AustriaWe 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.https://doi.org/10.1515/demo-2018-0021concordancecopulakendall tauspearman rhoextreme value distribution60e0562e1028a1262h05
collection	DOAJ
language	English
format	Article
sources	DOAJ
author	Trutschnig Wolfgang Mroz Thomas
spellingShingle	Trutschnig Wolfgang Mroz Thomas A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas Dependence Modeling concordance copula kendall tau spearman rho extreme value distribution 60e05 62e10 28a12 62h05
author_facet	Trutschnig Wolfgang Mroz Thomas
author_sort	Trutschnig Wolfgang
title	A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
title_short	A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
title_full	A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
title_fullStr	A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
title_full_unstemmed	A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
title_sort	sharp inequality for kendall’s τ and spearman’s ρ of extreme-value copulas
publisher	De Gruyter
series	Dependence Modeling
issn	2300-2298
publishDate	2018-12-01
description	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.
topic	concordance copula kendall tau spearman rho extreme value distribution 60e05 62e10 28a12 62h05
url	https://doi.org/10.1515/demo-2018-0021
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A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas

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