On the exact region determined by Kendall's tau and Spearman's rho

Abstract: Using properties of shuffles of copulas and tools from combinatorics we solve the open question about the exact region $\Omega$ determined by all possible values of Kendall's $\tau$ and Spearman's $\rho$. In particular, we prove that the well-known inequality established by Durbin and Stuart in 1951 is only sharp on a countable set with sole accumulation point $(-1,-1)$, give a simple analytic characterization of $\Omega$ in terms of a continuous, strictly increasing piecewise concave function, and show that $\Omega$ is compact and simply connected but not convex. The results also show that for each $(x,y)\in \Omega$ there are mutually completely dependent random variables whose $\tau$ and $\rho$ values coincide with $x$ and $y$ respectively.