Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties

DOI10.1080/10485252.2015.1070849zbMath1327.62358OpenAlexW2335029350MaRDI QIDQ3455257

Włodzimierz Wysocki

Publication date: 4 December 2015

Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/10485252.2015.1070849

zbMATH Keywords

Laplace transformKendall's tauSpearman's rhoArchimedean \(n\)-copulainfinite-dimensional Archimedean \(n\)-copulaWilliamson \(n\)-transform

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)

Related Items

On the exact region determined by Spearman's footrule and Gini's gamma, Sampling from Archimedean n-copulas, On the exact region determined by Spearman's rho and Spearman's footrule, On the exact regions determined by Kendall's tau and other concordance measures, On the specification of multivariate association measures and their behaviour with increasing dimension, Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\), Study of partial and average conditional Kendall's tau, Integral generators of Archimedean n-copulas

Uses Software

• QRM

Cites Work

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