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Mathematics > Probability

arXiv:1812.03766 (math)
[Submitted on 10 Dec 2018]

Title:On the Interrelation between Dependence Coefficients of Extreme Value Copulas

Authors:Alexey V. Lebedev
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Abstract:For extreme value copulas with a known upper tail dependence coefficient we find pointwise upper and lower bounds, which are used to establish upper and lower bounds of the Spearman and Kendall correlation coefficients. We shown that in all cases the lower bounds are attained on Marshall--Olkin copulas, and the upper ones, on copulas with piecewise linear dependence functions.
Comments: 9 pages, 3 figures
Subjects: Probability (math.PR); Statistics Theory (math.ST)
MSC classes: 60E15, 60G70, 62G32, 62H20
Cite as: arXiv:1812.03766 [math.PR]
  (or arXiv:1812.03766v1 [math.PR] for this version)
  https://doi.org/10.48550/arXiv.1812.03766

Submission history

From: Alexey Lebedev [view email]
[v1] Mon, 10 Dec 2018 12:47:59 UTC (228 KB)
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