Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\)

DOI10.1007/s00180-020-00973-5zbMath1505.62441OpenAlexW3011790122MaRDI QIDQ2228222

Dawei Lu, Xiaoguang Wang, Lingyue Zhang

Publication date: 17 February 2021

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-020-00973-5

zbMATH Keywords

copuladependenceU-statisticKendall's \(\tau\)Spearman's \(\rho\)

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Nonparametric hypothesis testing (62G10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (1)

Graphical tests of independence for general distributions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Measuring and testing dependence by correlation of distances
• Measuring association and dependence between random vectors
• Theoretical efficiency comparisons of independence tests based on multivariate versions of Spearman's rho
• An introduction to copulas.
• Multivariate extensions of Spearman's rho and related statistics
• Measures of the functional dependence of random vectors
• Brownian distance covariance
• Applications and asymptotic power of marginal-free tests of stochastic vectorial independence
• Tests of independence among continuous random vectors based on Cramér-von Mises functionals of the empirical copula process
• A multivariate tail covariance measure for elliptical distributions
• Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties
• Some new measures of dependence for random variables based on Spearman's ρ and Kendall's τ
• Testing for concordance between several criteria
• Testing independence based on Bernstein empirical copula and copula density
• A Note on Average Tau as a Measure of Concordance
• RELATIONS BETWEEN TWO SETS OF VARIATES
• A NEW MEASURE OF RANK CORRELATION
• A Class of Statistics with Asymptotically Normal Distribution
• ON SAMPLING FROM A POPULATION OF RANKERS

This page was built for publication: Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\)