As mentioned in the course on copulas, a nice tool to describe dependence it Kendall's cumulative function. Given a random pair with distribution , define random variable . Then Kendall's cumulative function is Genest and Rivest (1993) intr...

Kendall’s Tau This is an example of Kendall’s Tau rank correlation. This is similar to Spearman’s Rho in that it is a non-parametric measure of correlation on ranks. It is an appropriate measure for ordinal data and is fairly straight forward when there are no ties in the ranks. When ties do exist then variations