Best-possible bounds on the set of copulas with a given value of Spearman's footrule
journal contribution
posted on 2022-01-30, 00:00authored byGleb BeliakovGleb Beliakov, E de Amo, J Fernández-Sánchez, M Úbeda-Flores
In this paper we find pointwise best-possible bounds on the set of copulas with a given value of the Spearman's footrule coefficient. We show that the lower bound is always a copula but, unlike the bounds on sets of copulas with a given value of other measures, such as Kendall's tau, Spearman's rho and Blonqvist's beta, the upper bound can be a copula or a proper quasi-copula. We characterised both of these cases.