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Relation between non-exchangeability and measures of concordance of copulas (1909.06648v2)
Published 14 Sep 2019 in math.ST, q-fin.ST, and stat.TH
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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