Matrix compatibility and correlation mixture representation of generalized Gini's gamma

DOI10.1002/CJS.11748arXiv2011.09053OpenAlexW3107070634MaRDI QIDQ6180920FDOQ6180920

Authors: Takaaki Koike, Marius Hofert 

Publication date: 22 January 2024

Published in: The Canadian Journal of Statistics (Search for Journal in Brave)

Abstract: Representations of measures of concordance in terms of Pearson' s correlation coefficient are studied. All transforms of random variables are characterized such that the correlation coefficient of the transformed random variables is a measure of concordance. Next, Gini' s gamma is generalized and it is shown that the resulting generalized Gini' s gamma can be represented as a mixture of measures of concordance that are Pearson' s correlation coefficients of transformed random variables. As an application of this correlation mixture representation of generalized Gini' s gamma, lower and upper bounds of the compatible set of generalized Gini' s gamma, which is the collection of all possible square matrices whose entries are pairwise bivariate generalized Gini' s gammas, are derived.

Full work available at URL: https://arxiv.org/abs/2011.09053

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zbMATH Keywords

copulacompatibilitycorrelation coefficientmeasure of concordanceGini's gamma

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20)

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Cited In (1)

• Invariant correlation under marginal transforms

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