The W-footrule coefficient: A copula-based measure of countermonotonicity

TL;DR

This paper introduces the W-footrule coefficient, a copula-based measure of negative dependence, along with a rank-based estimator that is proven consistent and asymptotically normal, validated through simulations.

Contribution

It presents a novel copula-based coefficient for negative dependence and a new estimator with proven statistical properties.

Findings

The W-footrule coefficient effectively measures countermonotonicity.

The estimator is strongly consistent and asymptotically normal.

Simulations confirm the estimator's finite-sample performance.

Abstract

We introduce the $W$-footrule coefficient $\Phi_C$, a copula-based coefficient of negative association defined as the $L^1$-distance to the countermonotonic copula $W$. We prove that Gini's gamma admits the decomposition $\gamma_C = \frac{2}{3}(\varphi_C+\Phi_C)$, linking it to Spearman's footrule $\varphi_C$. A rank-based estimator is introduced, with its strong consistency and asymptotic normality established via the functional delta method. Monte Carlo simulations confirm the estimator's finite-sample validity and its sensitivity to negative dependence structures.