论文信息 - Characterizations of Copulas Attaining the Bounds of Multivariate Kendall’s Tau

Characterizations of Copulas Attaining the Bounds of Multivariate Kendall’s Tau

Kendall’s tau is one of the most popular measures of concordance, and even in the multivariate case exact upper and lower bounds of Kendall’s tau are known. The present paper provides characterizations of the copulas attaining the bounds of multivariate Kendall’s tau, mainly in terms of the copula measure, but also via Kendall’s distribution function and for shuffles of copulas.

Sebastian Fuchs | Klaus D. Schmidt | Yann McCord

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