文章基本信息

标题：A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas
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作者：Wolfgang Trutschnig ; Thomas Mroz
期刊名称：Dependence Modeling
电子版ISSN：2300-2298
出版年度：2018
卷号：6
期号：1
页码：369-376
DOI：10.1515/demo-2018-0021
出版社：Walter de Gruyter GmbH
摘要：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..
关键词：Concordance ; Copula ; Kendall tau ; Spearman rho ; Extreme Value Distribution ; 60E05 ; 62E10 ; 28A12 ; 62H05