Invariant correlation under marginal transforms

DOI10.1016/j.jmva.2024.105361MaRDI QIDQ6615380

Ruodu Wang, Liyuan Lin, Takaaki Koike

Publication date: 8 October 2024

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

zbMATH Keywords

correlation coefficientpositive regression dependenceFréchet copuladependence matrices

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Measures of association (correlation, canonical correlation, etc.) (62H20) Exact distribution theory in statistics (62E15) Probability distributions: general theory (60E05)

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