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arXiv · 1909.06648

Relation between non-exchangeability and measures of concordance of copulas

Damjana Kokol Bukovšek·Tomaž Košir·Blaž Mojškerc·Matjaž Omladič
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Abstract

An investigation is presented of how a comprehensive choice of five most important measures of concordance (namely Spearman's rho, Kendall's tau, Gini's gamma, Blomqvist's beta, and their weaker counterpart Spearman's footrule) relate to non-exchangeability, i.e., asymmetry on copulas. Besides these results, the method proposed also seems to be new and may serve as a raw model for exploration of the relationship between a specific property of a copula and some of its measures of dependence structure, or perhaps the relationship between various measures of dependence structure themselves.

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Damjana Kokol Bukovšek, Tomaž Košir, Blaž Mojškerc, Matjaž Omladič. 2019-12-24. Relation between non-exchangeability and measures of concordance of copulas. https://doi.org/10.1016/j.jmaa.2020.123951

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