On grade transformation and its implications for copulas

MaRDI QIDQ367520zbMATH OpenFDO

Authors Magdalena Niewiadomska-Bugaj', Teresa Kowalczyk

Publication date 16 September 2013

Published in Brazilian Journal of Probability and Statistics (Search for Journal in Brave)

zbMATH Keywords

copulaSpearman's \(\rho\)Gini correlationgrade transformationKendall's \(\tau\)

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory of statistical distributions (62E10)

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Cited in

(6)

• Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance
• Matching the grade correlation coefficient using a copula with maximum disorder
• Copulas: A Review and Recent Developments
• Copula-based regression models: a survey
• On rank correlation measures for non-continuous random variables
• Association of zero-inflated continuous variables

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