On the exact region determined by Spearman’s ρ and Blest’s measure of rank correlation ν for bivariate extreme-value copulas
Year: 2024
Type: article
Abstract: Considering pairs of measures of association it has been of interest how much the values ofone measure varies, fixing the value of the other one. Motivated by this fact, we establishsharp lower and upper bounds for the region determined by Spearman’s ?? and Blest’s measureof rank correlation ?? for bivariate extreme-value copulas (EVCs). Moreover, in the well-studiedclass of EVCs, exact regions for Spearman’s footrule ??/Blomqvist’s ?? and Spearman’s ??, Kendall’s?? or Blest’s symmetrised measure of rank correlation ?? are provided. A performance analysiscomparing rank-based estimators of ?? and ?? with estimators using that the sample is drawnfrom an extreme-value copula concludes this paper.
Source: Journal of Multivariate Analysis
Author: Marco Tschimpke
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: hybrid
Estimated APC paid: $3,180
Funder: AMAG Austria Metall
OpenAlex ID: W4403277412