Geodesic
Upper bound for the expected minimum of dependent random variables with known Kendall's tau
Teoriâ veroâtnostej i ee primeneniâ, Tome 64 (2019) no. 3, pp. 578-589

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The paper is concerned with the expectation of the minimum of two dependent identically distributed nonnegative random variables with known Kendall correlation coefficient. Under certain conditions, the upper bound for this characteristic is obtained. The result derived is illustrated by examples. The problem under consideration can have applications in reliability theory, queueing theory, and financial mathematics.
Keywords: upper bound, minimum, Kendall correlation coefficient.
Mots-clés : maximum, copula, diagonal section 
@article{TVP_2019_64_3_a9,
     author = {A. V. Lebedev},
     title = {Upper bound for the expected minimum of dependent random variables with known {Kendall's} tau},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {578--589},
     publisher = {mathdoc},
     volume = {64},
     number = {3},
     year = {2019},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2019_64_3_a9/}
}
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A. V. Lebedev. Upper bound for the expected minimum of dependent random variables with known Kendall's tau. Teoriâ veroâtnostej i ee primeneniâ, Tome 64 (2019) no. 3, pp. 578-589. http://geodesic.mathdoc.fr/item/TVP_2019_64_3_a9/