Kendall's tau and Spearman's rho forn-dimensional Archimedean copulas and their asymptotic properties
From MaRDI portal
Publication:3455257
DOI10.1080/10485252.2015.1070849zbMath1327.62358OpenAlexW2335029350MaRDI QIDQ3455257
Publication date: 4 December 2015
Published in: Journal of Nonparametric Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/10485252.2015.1070849
Laplace transformKendall's tauSpearman's rhoArchimedean \(n\)-copulainfinite-dimensional Archimedean \(n\)-copulaWilliamson \(n\)-transform
Asymptotic properties of nonparametric inference (62G20) Hypothesis testing in multivariate analysis (62H15) Measures of association (correlation, canonical correlation, etc.) (62H20) Order statistics; empirical distribution functions (62G30)
Related Items
On the exact region determined by Spearman's footrule and Gini's gamma, Sampling from Archimedean n-copulas, On the exact region determined by Spearman's rho and Spearman's footrule, On the exact regions determined by Kendall's tau and other concordance measures, On the specification of multivariate association measures and their behaviour with increasing dimension, Measuring and testing interdependence among random vectors based on Spearman's \(\rho\) and Kendall's \(\tau\), Study of partial and average conditional Kendall's tau, Integral generators of Archimedean n-copulas
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Likelihood inference for Archimedean copulas in high dimensions under known margins
- Multiply monotone functions and their Laplace transforms
- Multivariate Archimedean copulas, \(d\)-monotone functions and \(\ell _{1}\)-norm symmetric distributions
- Multivariate extensions of Spearman's rho and related statistics
- From Archimedean to Liouville copulas
- A probabilistic interpretation of complete monotonicity
- Dependence and order in families of Archimedean copulas
- Inference in multivariate Archimedean copula models
- Archimedean copulae and positive dependence
- Multivariate concordance
- Convergence of Archimedean copulas
- Copules archimédiennes et families de lois bidimensionnelles dont les marges sont données
- Understanding Relationships Using Copulas
