On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model (Q1952681)
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| English | On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model |
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On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model (English)
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3 June 2013
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Summary: This paper studies the relationship between Kendall's tau and Pearson correlation coefficient under the so-called bivariate homogeneous shock (BHS) model. We find that the Capéraà-Genest-type inequality may not hold for the general BHS model. Computational simulations suggest that the Daniels' inequality is likely to be true.
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Kendall's tau
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bivariate homogeneous shock model
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Pearson correlation coefficient
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Daniels' inequality
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