摘要：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..
关键词：Concordance ; Copula ; Kendall tau ; Spearman rho ; Extreme Value Distribution ; 60E05 ; 62E10 ; 28A12 ; 62H05
