A sharp inequality for Kendall's $τ$ and Spearman's $ρ$ of Extreme-Value Copulas

Published 6 Nov 2018 in math.ST and stat.TH | (1811.02256v1)

Abstract: We derive a new (lower) inequality between Kendall's tau? and Spearman's rho? for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclude that the comonotonic and the product copula are the only Extreme-Value Copulas for which the well-known lower Hutchinson-Lai inequality is sharp.

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