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

Christian Genest2009

Article2009

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

Christian Genest · Johanna Nešlehová

16 citations·0/0 files stored·Journal of Statistical Planning and Inference

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Multidisciplinary Science and Engineering Research Probability and Statistical Research Financial Risk and Volatility Modeling

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References

1999An Introduction to Copulas 1958Ordinal Measures of Association 2006On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables 1950Rank Correlation and Population Models 1993Spearman's ρ is larger than kendall's τ for positively dependent random variables 1951Inversions and Rank Correlation Coefficients

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2018On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau

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Year2009

Typearticle

Published2009-05-28

VenueJournal of Statistical Planning and Inference

ISSN-L0378-3758

Languageen

Citations16

Files0 public / 0

ShelfMultidisciplinary Science and Engineering Research

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doi10.1016/j.jspi.2009.05.017

openalex_workW1968693764

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