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arxiv: 1811.02256 · v1 · pith:EG2374CNnew · submitted 2018-11-06 · 🧮 math.ST · stat.TH

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

classification 🧮 math.ST stat.TH
keywords inequalitycopulasextreme-valuesharpkendalllowerspearmancomonotonic
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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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