Comparison of correlation-based measures of concordance in terms of asymptotic variance

DOI10.1016/j.jmva.2023.105265arXiv2006.13975OpenAlexW4388969012MaRDI QIDQ6200939

Takaaki Koike, Marius Hofert

Publication date: 25 March 2024

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2006.13975

zbMATH Keywords

copulaKendall's taucorrelation coefficientSpearman's rhomeasure of concordanceBlomqvist's beta

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Measures of association (correlation, canonical correlation, etc.) (62H20)

Cites Work

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• Nonparametric inference on multivariate versions of Blomqvist's beta and related measures of tail dependence
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• Linear rank tests for independence in bivariate distributions-power comparisons by simulation
• Asymptotic efficiency of independence tests based on gini's rank association coefficient, spearman's footrule and their generalizations
• Multivariate extremes, aggregation and dependence in elliptical distributions
• COMPATIBILITY AND ATTAINABILITY OF MATRICES OF CORRELATION-BASED MEASURES OF CONCORDANCE
• Locally most powerful rank tests of independence for copula models
• On a Measure of Dependence Between two Random Variables

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