Tau-Rho Equality and Other Dependence Measures of a Subclass of Factorizable Copulas

Noppawit Yanpaisan, Tippawan Santiwipanont, Matthias Scherer +1

Kendall's tau and Spearman's rho, two widely used dependence measures in statistics and risk management, are often treated as interchangeable, yet can disagree sharply: Schreyer et…