Compatible matrices of Spearman's rank correlation

DOI10.1016/j.spl.2019.03.015zbMath1453.60038arXiv1810.03477OpenAlexW2962864308WikidataQ128202603 ScholiaQ128202603MaRDI QIDQ2322625

Ruodu Wang, Bin Wang, Yu-ming Wang

Publication date: 5 September 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1810.03477

zbMATH Keywords

copulacompatibilityrisk managementSpearman's rhorank correlation matrix

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Probability distributions: general theory (60E05)

Related Items (3)

On attainability of Kendall's tau matrices and concordance signatures ⋮ Matrix compatibility and correlation mixture representation of generalized Gini's gamma ⋮ COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE

Uses Software

• QRM
• CopulaModel

Cites Work

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• A distribution-free approach to inducing rank correlation among input variables
• Bernoulli and tail-dependence compatibility
• Extremal correlation matrices
• Copulas with Prescribed Correlation Matrix
• Dependence Modeling with Copulas
• Uncertainty Analysis with High Dimensional Dependence Modelling
• Extreme Points in Convex Sets of Symmetric Matrices
• Range of correlation matrices for dependent Bernoulli random variables

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