Year: 2026
Type: preprint
Abstract: We determine the exact region $Ω_{β,ϕ,τ}= \{(β(C),ϕ(C),τ(C))\mid C\in\mathcal{C}\}$ of possible joint values of Blomqvist's beta, Spearman's footrule and Kendall's tau over the class $\mathcal{C}$ of all bivariate copulas. The region consists precisely of all triples $(β,ϕ,τ)$ satisfying $-1\le β\le 1$, $\frac{3}{16}(1+β)^2-\frac12\le ϕ\le 1-\frac38(1-β)^2$ and $\frac43 ϕ-\frac13\le τ\le \frac23 ϕ+\frac13$. In other words, the known exact $(β,ϕ)$- and $(ϕ,τ)$-regions already characterize the joint region, so that, once the value of Spearman's footrule is fixed, Blomqvist's beta imposes no additional restriction on the possible values of Kendall's tau. The proof is constructive: two $2$-parameter families of shuffles of $M$ realize all the points in $Ω_{β,ϕ,τ}$ with $ϕ= \frac{3}{16}(1+β)^2-\frac12$, and ordinal sums spread realizations of these two families over the whole region $Ω_{β,ϕ,τ}$.
Source: arXiv (Cornell University)
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W7168407530