On the Interrelation between Dependence Coefficients of Extreme Value\n Copulas

2018/12/10 by Alexey Viktorovich Lebedev, Lebedev, Alexey V.
Economics, Econometrics and Finance · Social Sciences · #60E15 #60G70 #62G32 #62H20 #FOS: Mathematics #Financial Risk and Volatility Modeling #Insurance, Mortality, Demography, Risk Management #Probability (math.PR) #Statistics Theory (math.ST) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1812.03766

openalex publication_date 2018/12/10 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

For extreme value copulas with a known upper tail dependence coefficient we\nfind pointwise upper and lower bounds, which are used to establish upper and\nlower bounds of the Spearman and Kendall correlation coefficients. We shown\nthat in all cases the lower bounds are attained on Marshall--Olkin copulas, and\nthe upper ones, on copulas with piecewise linear dependence functions.\n

Related

• A sharp inequality for Kendall's τ and Spearman's ρ of Extreme-Value Copulas
• Extreme-Value Copulas
• On the exact region determined by Spearman’s ρ and Blest’s measure of rank correlation ν for bivariate extreme-value copulas
• On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman ρ (Kendall τ) identical to some value v ∈ [0,1]
• On the exact region between Chatterjee's rank correlation and Spearman's footrule