Articlehybrid2023

On the Exact Regions Determined by Kendall’s Tau and Other Concordance Measures

15 citations0/0 files storedMediterranean Journal of Mathematics

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Financial Risk and Volatility Modeling Probability and Statistical Research Multidisciplinary Science and Engineering Research

Abstract

Abstract We determine the upper and lower bound for possible values of Kendall's tau of a bivariate copula given that the value of its Spearman's footrule or Gini's gamma is known, and show that these bounds are always attained. Mathematics Subject Classification (2020). 62H20, 62H05, 60E05.

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References

1958Ordinal Measures of Association 2015Principles of Copula Theory 2006On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables 1950Rank Correlation and Population Models 1951Inversions and Rank Correlation Coefficients 2005Multivariate versions of Blomqvist’s beta and Spearman’s footrule 1998Concordance and Gini's measure of association 2016On the Exact Region Determined by Kendall's τ and Spearman's ρ

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