The exact Spearman rho-footrule region via optimal transport with applications to finite rankings, mixability, and Chatterjee's rank correlation

Abstract: We solve the open problem of determining the maximal value of Spearman's rho when Spearman's footrule is prescribed, thereby completing the exact attainable region of these two quantities. To prove this result, we reformulate the underlying copula optimization problem as an optimal transport problem with a linear moment constraint and construct the unique optimal coupling through a matching feasible dual potential and its contact set. Equivalently, this coupling minimizes the variance of $|U-V|$ among all couplings of $U,V\sim\mathcal{U}(0,1)$ with prescribed mean $\mathbb{E}|U-V|$. Our main result admits several applications: First, in the context of finite rankings, we obtain an improved Cauchy--Schwarz inequality between Spearman's footrule distance and the associated quadratic rank difference. Second, in the framework of generalized mixability, we characterize the attainable constant values of $|U'+V'|$, for $U',V'\sim\mathcal{U}(-1/2,1/2)$, and determine the minimal quadratic deviation for a given mean. Third, we derive explicit bounds relating Chatterjee's rank correlation $ξ(X,Y)$, which can detect complex functional dependence of $Y$ on $X$, to the copula correlation ratio--a rank-based fraction of explained variance--by exploiting their conditional i.i.d. representations in terms of Spearman's footrule and Spearman's rho.