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

DOI10.1002/CJS.11748MaRDI QIDQ6180920zbMATH OpenOpenAlexFDO

Authors Takaaki Koike, Marius Hofert

Publication date 22 January 2024

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

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

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)

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.

Recommendations

• Concordance and Gini's measure of association
• On the proper bounds of the Gini correlation
• On the exact region determined by Spearman's footrule and Gini's gamma
• COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
• Gini correlation as a measure of monotonicity and two of its usages

Cites work

• scientific article; zbMATH DE number 3932217 (Why is no real title available?)
• scientific article; zbMATH DE number 3576557 (Why is no real title available?)
• scientific article; zbMATH DE number 3584785 (Why is no real title available?)
• scientific article; zbMATH DE number 1416649 (Why is no real title available?)
• A NEW MEASURE OF RANK CORRELATION
• A Theorem on Points of Discontinuity of Functions
• Admissible Bernoulli correlations
• An introduction to copulas.
• Asymptotic efficiency of independence tests based on gini's rank association coefficient, spearman's footrule and their generalizations
• Bernoulli and tail-dependence compatibility
• COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
• Characterizations of degree one bivariate measures of concordance
• Compatible matrices of Spearman's rank correlation
• Concordance and Gini's measure of association
• Copulas with prescribed correlation matrix
• Measure theory. Vol. I and II
• Measures of concordance determined by 𝐷₄-invariant measures on (0,1)²
• Multivariate distributions with fixed marginals and correlations
• On a Measure of Dependence Between two Random Variables
• On attainability of Kendall's tau matrices and concordance signatures
• Principles of copula theory
• Some Concepts of Dependence
• Spearman's footrule and Gini's gamma: a review with complements
• Stochastic finance. An introduction in discrete time.
• THE SYMMETRIC FOOTRULE
• The Gaussian rank correlation estimator: robustness properties
• The bivariate normal copula

Cited in

(1)

• Invariant correlation under marginal transforms

This page was built for publication: Matrix compatibility and correlation mixture representation of generalized Gini's gamma

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6180920)