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ArticleCompatible matrices of Spearman’s rank correlation

Bin Wang2019

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Articlegreen2019

Compatible matrices of Spearman’s rank correlation

Bin Wang · Ruodu Wang · Yuming Wang

19 citations·0/0 files stored·Statistics & Probability Letters

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Financial Risk and Volatility Modeling Probability and Statistical Research Random Matrices and Applications

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References

2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2014Dependence Modeling with Copulas 1982A distribution-free approach to inducing rank correlation among input variables 2006Uncertainty Analysis with High Dimensional Dependence Modelling 2003Risk Management: Value at Risk and Beyond 2007Uncertainty Analysis With High Dimensional Dependence Modelling

Cited by

2024Correlation Tests in R: Pearson Cor, Kendall’s Tau, and Spearman’s Rho 2022On attainability of Kendall’s tau matrices and concordance signatures 2022Matrix compatibility and correlation mixture representation of generalized Gini's gamma

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Details

Year2019

Typearticle

Published2019-03-28

VenueStatistics & Probability Letters

ISSN-L0167-7152

Languageen

Citations19

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.spl.2019.03.015

openalex_workW2962864308

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