On the Relationship between Pearson Correlation Coefficient and Kendall’s Tau under Bivariate Homogeneous Shock Model

Abstract EN

This paper studies the relationship between Kendall's tau and Pearson correlation coefficient under the so-called bivariate homogeneous shock (BHS) model.

We find Capéraà-Genest-type inequality may not hold for general BHS model.

Computational simulations suggest that the Denials' inequality is likely to be true.