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

2018/11/06 by Mroz, Thomas, Trutschnig, Wolfgang
#FOS: Mathematics #Statistics Theory (math.ST)

paper · doi:10.48550/arxiv.1811.02256

Abstract

We derive a new (lower) inequality between Kendall's tau? and Spearman's rho? 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.

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