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Relation between Blomqvist's beta and other 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 four most important measures of concordance (namely Spearman's rho, Kendall's tau, Spearman's footrule, and Gini's gamma) relate to the fifth one, i.e., the Blomqvist's beta. In order to work out these results we present a novel method of estimating the values of the four measures of concordance on a family of copulas with fixed value of beta. These results are primarily aimed at the community of practitioners trying to find the right copula to be employed on their data. However, the proposed method as such may be of independent interest from theoretical point of view.

Suggested Citation

  • Damjana Kokol Bukovv{s}ek & Tomav{z} Kov{s}ir & Blav{z} Mojv{s}kerc & Matjav{z} Omladiv{c}, 2019. "Relation between Blomqvist's beta and other measures of concordance of copulas," Papers 1911.03467, arXiv.org.
    • Handle: RePEc:arx:papers:1911.03467
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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. Manuela Schreyer & Roland Paulin & Wolfgang Trutschnig, 2017. "On the exact region determined by Kendall's τ and Spearman's ρ," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(2), pages 613-633, March.
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