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arXiv · 1911.03467

Relation between Blomqvist's beta and other measures of concordance of copulas

Damjana Kokol Bukovšek·Tomaž Košir·Blaž Mojškerc·Matjaž Omladič
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Abstract

An investigation is presented of how a comprehensive choice of four most important measures of concordance (namely Spearman's rho, Kendall's tau, Spearman's footrule, and Gini's gamma) relate to the fifth one, i.e., the Blomqvist's beta. In order to work out these results we present a novel method of estimating the values of the four measures of concordance on a family of copulas with fixed value of beta. These results are primarily aimed at the community of practitioners trying to find the right copula to be employed on their data. However, the proposed method as such may be of independent interest from theoretical point of view.

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Damjana Kokol Bukovšek, Tomaž Košir, Blaž Mojškerc, Matjaž Omladič. 2019-11-08. Relation between Blomqvist's beta and other measures of concordance of copulas. https://arxiv.org/abs/1911.03467

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