On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model

DOI10.5402/2012/717839zbMath1270.60027OpenAlexW2157196084WikidataQ58691773 ScholiaQ58691773MaRDI QIDQ1952681

Jian Tian Wang

Publication date: 3 June 2013

Published in: ISRN Probability and Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.5402/2012/717839

zbMATH Keywords

Kendall's tauPearson correlation coefficientbivariate homogeneous shock modelDaniels' inequality

Mathematics Subject Classification ID

Probability distributions: general theory (60E05) Reliability, availability, maintenance, inspection in operations research (90B25)

Cites Work

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• Kendall's \(\tau\) is equal to the correlation coefficient for the BVE distribution
• Analytical proofs of classical inequalities between Spearman's \(\rho\) and Kendall's \(\tau \)
• A counterexample to a conjecture of Hutchinson and Lai
• Hutchinson -- Lai's conjecture for bivariate extreme value copulas.
• On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables
• Spearman's ρ is larger than kendall's τ for positively dependent random variables
• Small-Sample Results for the Kaplan-Meier Estimator
• Dependency measures under bivariate homogeneous shock models
• A Multivariate Exponential Distribution