English

On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman $\rho$ (Kendall $\tau$) identical to some value $v \in [0,1]$

Statistics Theory 2018-01-24 v1 Statistics Theory

Abstract

We answer an open question posed by the second author at the Salzburg workshop on Dependence Models and Copulas in 2016 concerning the size of the family Avρ\mathcal{A}^\rho_v (Avτ\mathcal{A}^\tau_v) of all Pickands dependence functions AA whose corresponding Extreme-Value-Copulas have Spearman ρ\rho (Kendall τ\tau) equal to some arbitrary, fixed value v[0,1]v \in [0,1]. After determining compact sets Ωvρ,Ωvτ[0,1]×[12,1]\Omega^\rho_v, \Omega^\tau_v \subseteq [0,1] \times [\frac{1}{2},1] containing the graphs of all Pickands dependence functions from the classes Avρ\mathcal{A}^\rho_v and Avτ\mathcal{A}^\tau_v respectively, we then show that both sets are best possible.

Keywords

Cite

@article{arxiv.1801.07665,
  title  = {On all Pickands Dependence Functions whose corresponding Extreme-Value-Copulas have Spearman $\rho$ (Kendall $\tau$) identical to some value $v \in [0,1]$},
  author = {Noppadon Kamnitui and Christian Genest and Wolfgang Trutschnig},
  journal= {arXiv preprint arXiv:1801.07665},
  year   = {2018}
}