On rank correlation measures for non-continuous random variables
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Publication:873621
DOI10.1016/J.JMVA.2005.11.007zbMATH Open1107.62047OpenAlexW2063851694MaRDI QIDQ873621FDOQ873621
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
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copulaempirical copulaKendall's taumeasures of associationSpearman's rhomeasures of concordance empirical distributionsnon-continuous
Characterization and structure theory for multivariate probability distributions; copulas (62H05) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)
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Cited In (68)
- On the resistance of rank correlation
- Monotone Correlation and Monotone Disjunct Pieces
- Generalizing the Results from Social Experiments: Theory and Evidence from India
- Copula modeling from Abe Sklar to the present day
- Tests of independence and randomness for arbitrary data using copula-based covariances
- Assortativity and Bidegree Distributions on Bernoulli Random Graph Superpositions
- Assortativity and bidegree distributions on Bernoulli random graph superpositions
- Distributions associated to the counting techniques of the d-sample copula of order m and weak convergence of the sample process
- Copula index for detecting dependence and monotonicity between stochastic signals
- On the impact of semidefinite positive correlation measures in portfolio theory
- Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
- Copulas checker-type approximations: Application to quantiles estimation of sums of dependent random variables
- On the exploration of regression dependence structures in multidimensional contingency tables with ordinal response variables
- Testing Asymmetry in Dependence with Copula-Coskewness
- Receiver operating characteristic (ROC) movies, universal ROC (UROC) curves, and coefficient of predictive ability (CPA)
- Asymptotic behavior of the empirical multilinear copula process under broad conditions
- Concordance-based predictive measures in regression models for discrete responses
- Nonparametric estimation of copula-based measures of multivariate association from contingency tables
- Modelling count data via copulas
- Inference for copula modeling of discrete data: a cautionary tale and some facts
- Copula in a multivariate mixed discrete-continuous model
- Partial identification of latent correlations with ordinal data
- Estimation of Copula Models With Discrete Margins via Bayesian Data Augmentation
- The weighted rank correlation coefficient \(r_{W2}\) in the case of ties
- On exploratory analytic method for multi-way contingency tables with an ordinal response variable and categorical explanatory variables
- Bounds on concordance-based validation statistics in regression models for binary responses
- Measure of asymmetric association for ordinal contingency tables via the bilinear extension copula
- Toward a definition and understanding of correlation for variables constrained by random relations
- Degree-Degree Dependencies in Random Graphs with Heavy-Tailed Degrees
- Bivariate extensions of Skellam's distribution
- Bivariate distributions with ordered marginals
- Kendall's tau estimator for bivariate zero-inflated count data
- On concordance measures for discrete data and dependence properties of Poisson model
- Extensions of subcopulas
- On Nonlinear Correlation of Random Elements
- On the properties of some nonparametric concordance measures in the discrete case
- Maximal coupling of empirical copulas for discrete vectors
- Bounds on multivariate Kendall's tau and Spearman's rho for zero-inflated continuous variables and their application to insurance
- Stat trek. An interview with Christian Genest
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- Bounds on Spearman's rho when at least one random variable is discrete
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- Bivariate dependence measures and bivariate competing risks models under the generalized FGM copula
- Discrete Schur-constant models
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- Copula-Based Models for Multivariate Discrete Response Data
- A Primer on Copulas for Count Data
- Inducing a desired value of correlation between two point-scale variables: a two-step procedure using copulas
- Predicting dependent binary outcomes through logistic regressions and meta-elliptical copulas
- Correction methods for ties in rank correlations
- Simulating dependent discrete data
- A general algorithm for covariance modeling of discrete data
- Convergence results for patchwork copulas
- Copula-based regression models: a survey
- On the empirical multilinear copula process for count data
- Modeling Multivariate Count Data Using Copulas
- Regression in a copula model for bivariate count data
- Robust polychoric correlation
- Finite normal mixture copulas for multivariate discrete data modeling
- On the estimation of Spearman's rho and related tests of independence for possibly discontinuous multivariate data
- Copula modeling for discrete random vectors
- A consistent estimator to the orthant-based tail value-at-risk
- Discussion: Statistical models and methods for dependence in insurance data
- Bayesian estimation of a bivariate copula using the Jeffreys prior
- Association of zero-inflated continuous variables
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