Relation between non-exchangeability and measures of concordance of copulas

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.

arXiv comment27 pages, 11 figures

References in corpus (1)

• Non-exchangeability of copulas arising from shock models

Cited by in corpus (3)

• On the exact region determined by Spearman's rho and Spearman's footrule
• Spearman's footrule and Gini's gamma: Local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
• New copulas and their applications to symmetrizations of bivariate copulas