Relation between non-exchangeability and measures of concordance of copulas
Statistics Theory
2023-08-09 v2 Statistical Finance
Statistics Theory
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.
Keywords
Cite
@article{arxiv.1909.06648,
title = {Relation between non-exchangeability and measures of concordance of copulas},
author = {Damjana Kokol Bukovšek and Tomaž Košir and Blaž Mojškerc and Matjaž Omladič},
journal= {arXiv preprint arXiv:1909.06648},
year = {2023}
}
Comments
27 pages, 11 figures