A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas

DOI10.1515/demo-2018-0021zbMath1434.62086arXiv1811.02256OpenAlexW2962728544MaRDI QIDQ2283656

Wolfgang Trutschnig, Thomas A. Mroz

Publication date: 13 January 2020

Published in: Dependence Modeling (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.02256

zbMATH Keywords

copulaconcordanceextreme value distributionKendall tauSpearman rho

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistics of extreme values; tail inference (62G32) Characterization and structure theory of statistical distributions (62E10)

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Uses Software

• QRM

Cites Work

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• On the Exact Region Determined by Kendall's τ and Spearman's ρ