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BY-NC-ND 4.0 license Open Access Published by De Gruyter Open Access December 13, 2018

A sharp inequality for Kendall’s τ and Spearman’s ρ of Extreme-Value Copulas

  • Wolfgang Trutschnig EMAIL logo and Thomas Mroz
From the journal Dependence Modeling


We derive a new (lower) inequality between Kendall’s τ and Spearman’s ρ for two-dimensional Extreme-Value Copulas, show that this inequality is sharp in each point and conclude that the comonotonic and the product copula are the only Extreme-Value Copulas for which the well-known lower Hutchinson-Lai inequality is sharp.

MSC 2010: 60E05; 62E10; 28A12; 62H05


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Received: 2018-11-14
Accepted: 2018-11-27
Published Online: 2018-12-13
Published in Print: 2018-12-01

© by Wolfgang Trutschnig, Thomas Mroz, published by De Gruyter

This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 License.

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