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.
Original language | English |
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Article number | 108972 |
Journal | Statistics and Probability Letters |
Volume | 169 |
Issue number | 169 |
DOIs | |
Publication status | Published - Feb 2021 |
Keywords
- Copula
- Kendall's distribution function
- Kendall's tau
- Order statistic
- Probability of concordance
Fields of Science and Technology Classification 2012
- 101 Mathematics