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Relation between non-exchangeability and measures of concordance of copulas

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Listed:
  • Damjana Kokol Bukovv{s}ek
  • Tomav{z} Kov{s}ir
  • Blav{z} Mojv{s}kerc
  • Matjav{z} Omladiv{c}

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.

Suggested Citation

  • Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2019. "Relation between non-exchangeability and measures of concordance of copulas," Papers 1909.06648, arXiv.org, revised Dec 2019.
    • Handle: RePEc:arx:papers:1909.06648
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    References listed on IDEAS

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    1. Fabrizio Durante & Erich Klement & Carlo Sempi & Manuel Úbeda-Flores, 2010. "Measures of non-exchangeability for bivariate random vectors," Statistical Papers, Springer, vol. 51(3), pages 687-699, September.
    2. Roger Nelsen, 2007. "Extremes of nonexchangeability," Statistical Papers, Springer, vol. 48(4), pages 695-695, October.
    3. Fabrizio Durante & Pier Papini, 2010. "Non-exchangeability of negatively dependent random variables," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 71(2), pages 139-149, March.
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