On rank correlation measures for non-continuous random variables

DOI10.1016/j.jmva.2005.11.007zbMath1107.62047OpenAlexW2063851694MaRDI QIDQ873621

Publication date: 29 March 2007

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2005.11.007

zbMATH Keywords

copula Kendall's tau measures of association empirical copula Spearman's rho measures of concordance empirical distributions non-continuous

Mathematics Subject Classification ID

Measures of association (correlation, canonical correlation, etc.) (62H20) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Order statistics; empirical distribution functions (62G30)

Related Items (61)

Inference for copula modeling of discrete data: a cautionary tale and some facts ⋮ Assortativity and Bidegree Distributions on Bernoulli Random Graph Superpositions ⋮ Copula modeling for discrete random vectors ⋮ Assortativity and bidegree distributions on Bernoulli random graph superpositions ⋮ Copula-based regression models: a survey ⋮ Finite normal mixture copulas for multivariate discrete data modeling ⋮ Convergence results for patchwork copulas ⋮ Stat trek. An interview with Christian Genest ⋮ Modeling Multivariate Count Data Using Copulas ⋮ Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance ⋮ Bounds on Spearman's rho when at least one random variable is discrete ⋮ Best upper and lower bounds on Spearman's rho for zero-inflated continuous variables and their application to insurance ⋮ Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ ⋮ Copula in a multivariate mixed discrete-continuous model ⋮ Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables ⋮ Comorbidity of chronic diseases in the elderly: patterns identified by a copula design for mixed responses ⋮ Extensions of subcopulas ⋮ Distributions associated to the counting techniques of the d-sample copula of order m and weak convergence of the sample process ⋮ Concordance measures for multivariate non-continuous random vectors ⋮ On concordance measures for discrete data and dependence properties of Poisson model ⋮ On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data ⋮ A Primer on Copulas for Count Data ⋮ On the empirical multilinear copula process for count data ⋮ On the exploration of regression dependence structures in multidimensional contingency tables with ordinal response variables ⋮ Robust polychoric correlation ⋮ Kendall's tau estimator for bivariate zero-inflated count data ⋮ A measure of mutual complete dependence in discrete variables through subcopula ⋮ Copula versions of distance multivariance and dHSIC via the distributional transform – a general approach to construct invariant dependence measures ⋮ Bayesian estimation of a bivariate copula using the Jeffreys prior ⋮ Partial identification of latent correlations with ordinal data ⋮ Tests of independence and randomness for arbitrary data using copula-based covariances ⋮ Copula modeling from Abe Sklar to the present day ⋮ Regression in a copula model for bivariate count data ⋮ A consistent estimator to the orthant-based tail value-at-risk ⋮ Copula index for detecting dependence and monotonicity between stochastic signals ⋮ Correction methods for ties in rank correlations ⋮ Testing Asymmetry in Dependence with Copula-Coskewness ⋮ Discussion: Statistical models and methods for dependence in insurance data ⋮ Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas ⋮ Discrete Schur-constant models ⋮ On exploratory analytic method for multi-way contingency tables with an ordinal response variable and categorical explanatory variables ⋮ Measure of asymmetric association for ordinal contingency tables via the bilinear extension copula ⋮ Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation ⋮ Copula-Based Models for Multivariate Discrete Response Data ⋮ Asymptotic behavior of the empirical multilinear copula process under broad conditions ⋮ A general algorithm for covariance modeling of discrete data ⋮ Bounds on concordance-based validation statistics in regression models for binary responses ⋮ Bivariate dependence measures and bivariate competing risks models under the generalized FGM copula ⋮ Nonparametric estimation of copula-based measures of multivariate association from contingency tables ⋮ Bivariate distributions with ordered marginals ⋮ Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas ⋮ Degree-Degree Dependencies in Random Graphs with Heavy-Tailed Degrees ⋮ Modelling count data via copulas ⋮ Concordance-based predictive measures in regression models for discrete responses ⋮ Association of zero-inflated continuous variables ⋮ Simulating dependent discrete data ⋮ Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA) ⋮ The weighted rank correlation coefficient \(r_{W2}\) in the case of ties ⋮ Maximal coupling of empirical copulas for discrete vectors ⋮ BIVARIATE EXTENSIONS OF SKELLAM'S DISTRIBUTION ⋮ On the impact of semidefinite positive correlation measures in portfolio theory

Uses Software

QRM

Cites Work

This page was built for publication: On rank correlation measures for non-continuous random variables