On rank correlation measures for non-continuous random variables

Author:

Nešlehová Johanna

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Numerical Analysis,Statistics and Probability

Reference25 articles.

1. Spearman's ρ is larger than Kendall's τ for positively dependent random variables;Capéraà;J. Nonparametric Statist.,1993

2. P. Deheuvels, Non parametric tests of independence. in: J.P. Raoult (Ed.), Statistique Non Paramétrique Asymptotique Proceedings, Lecture Notes in Mathematics 821, Springer, Berlin, 1979, pp. 95–107.

3. Constraints on concordance measures in bivariate discrete data;Denuit;J. Multivariate Anal.,2005

4. Correlation and dependence in risk management: properties and pitfalls;Embrechts,2002

5. Mathematical Statistics: A Decision Theoretic Approach;Ferguson,1967

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