Marcus Rockel

Rank weighting and asymmetry in Blest's rank correlation: two exact regions

Blest's rank correlation $\nu$ is a variant of Spearman's rho $\rho$ that weights the leading ranks of one variable more heavily, at the price that $\nu$ is not symmetric in its arguments. We quantify both features by determining the exact region of $(\rho,\nu)$ over all bivariate copulas, as well as that of $(\eta,\nu...