Analytical proofs of classical inequalities between Spearman's \(\rho\) and Kendall's \(\tau \)

DOI10.1016/j.jspi.2009.05.017zbMath1419.62146OpenAlexW1968693764MaRDI QIDQ840733

Christian Genest, Johanna G. Nešlehová

Publication date: 14 September 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2009.05.017

zbMATH Keywords

Jensen's inequalityKendall's \(\tau \)Spearman's \(\rho \)

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (5)

Computation of general correlation coefficients for interval data ⋮ On the size of the class of bivariate extreme-value copulas with a fixed value of Spearman's rho or Kendall's tau ⋮ On the relationship between Pearson correlation coefficient and Kendall's tau under bivariate homogeneous shock model ⋮ Spearman's footrule and Gini's gamma: local bounds for bivariate copulas and the exact region with respect to Blomqvist's beta ⋮ A counterexample to a conjecture of Hutchinson and Lai

Cites Work

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• An introduction to copulas.
• On the relationship between Spearman's rho and Kendall's tau for pairs of continuous random variables
• Ordinal Measures of Association
• Spearman's ρ is larger than kendall's τ for positively dependent random variables

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