Analytical proofs of classical inequalities between Spearman's and Kendall's

DOI10.1016/J.JSPI.2009.05.017MaRDI QIDQ840733zbMATH OpenOpenAlexFDO

Authors Christian Genest, Johanna Nešlehová

Publication date 14 September 2009

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2009.05.017

zbMATH Keywords

Jensen's inequalityKendall's \(\tau \)Spearman's \(\rho \)

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Inequalities; stochastic orderings (60E15)

Recommendations

• On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables
• Concordance between two linear orders: The Spearman and Kendall coefficients revisited
• A sharp inequality for Kendall's \(\tau\) and Spearman's \(\rho\) of extreme-value copulas
• A note on the relationship between Spearman's \(\rho \) and Kendall's \(\tau \) for extreme order statistics
• Spearman's ρ is larger than kendall's τ for positively dependent random variables

Cites work

• scientific article; zbMATH DE number 3060916 (Why is no real title available?)
• scientific article; zbMATH DE number 3069562 (Why is no real title available?)
• scientific article; zbMATH DE number 3069563 (Why is no real title available?)
• An introduction to copulas.
• On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables
• Ordinal Measures of Association
• Spearman's ρ is larger than kendall's τ for positively dependent random variables

Cited in

(6)

• Computation of general correlation coefficients for interval data
• A counterexample to a conjecture of Hutchinson and Lai
• Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta
• On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau
• Revisiting the region determined by Spearman's \(\rho\) and Spearman's footrule \(\phi\)
• On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model

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