On order statistics and Kendall's tau

Sebastian Fuchs; Klaus D. Schmidt

doi:10.1016/j.spl.2020.108972

On order statistics and Kendall's tau

Sebastian Fuchs, Klaus D. Schmidt

Artificial Intelligence and Human Interfaces

Publikation: Beitrag in Fachzeitschrift › Artikel › Peer-reviewed

Abstract

Using Kendall's tau for copulas, we compare the degree of concordance of random variables with that of their order statistics. We prove a general inequality and show that this inequality is strict for every copula from the Fréchet family which is distinct from the upper Fréchet–Hoeffding bound.

Originalsprache	Englisch
Aufsatznummer	108972
Fachzeitschrift	Statistics and Probability Letters
Jahrgang	169
Ausgabenummer	169
DOIs	https://doi.org/10.1016/j.spl.2020.108972
Publikationsstatus	Veröffentlicht - Feb. 2021

Systematik der Wissenschaftszweige 2012

101 Mathematik

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abstract = "Using Kendall's tau for copulas, we compare the degree of concordance of random variables with that of their order statistics. We prove a general inequality and show that this inequality is strict for every copula from the Fr{\'e}chet family which is distinct from the upper Fr{\'e}chet–Hoeffding bound.",

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