On measures of association as measures of positive dependence

We show that Spearman's rho is a measure of average positive (and negative) quadrant dependence, and that Kendall's tau is a measure of average total positivity (and reverse regularity) of order two.

MoreLess

Year of publication:	1992
Authors:	Nelsen, Roger B.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 14.1992, 4, p. 269-274
Publisher:	Elsevier
Keywords:	Measures of association Spearman's rho Kendall's tau positive dependence properties positive quadrant dependence total positivity of order two copulas

More details

Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005313815