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

Abstract

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.