On Kendall's Tau for Order Statistics

Abstract

Every copula $ C $ for a random vector $ {\bf X}=(X_1,\dots,X_d) $ with identically distributed coordinates determines a unique copula $ C_{:d} $ for its order statistic $ {\bf X}_{:d}=(X_{1:d},\dots,X_{d:d}) $. In the present paper we study the dependence structure of $ C_{:d} $ via Kendall's tau, denoted by $ \kappa $. As a general result, we show that $ \kappa[C_{:d}] $ is at least as large as $ \kappa[C] $. For the product copula $ \Pi $, which corresponds to the case of independent coordinates of $ {\bf X} $, we provide an explicit formula for $ \kappa[\Pi_{:d}] $ showing that the inequality between $ \kappa[\Pi] $ and $ \kappa[\Pi_{:d}] $ is strict. We also compute Kendall's tau for certain multivariate margins of $ \Pi_{:d} $ corresponding to the lower or upper coordinates of $ {\bf X}_{:d} $.