https://doi.org/10.15446/rce.v38n1.48811

Optimization of Spearman's Rho

Optimización de Rho de Spearman

SAIKAT MUKHERJEE1, FARHAD JAFARI2, JONG-MIN KIM3

1National Institute of Technology Meghalaya, Department of Mathematics, Shillong, India. Assistant Professor. Email: saikat.mukherjee@nitm.ac.in
2University of Wyoming, Department of Mathematics, Laramie, USA. Professor. Email: fjafari@uwyo.edu
3University of Minnesota-Morris, Division of Science and Mathematics, Morris, USA. Professor. Email: jongmink@morris.umn.edu


Abstract

This paper proposes an approximation method to achieve optimum possible values of Spearmans rho for a special class of copulas.

Key words: Approximation, Copula, Kendall's Tau, Spearman's Rho.


Resumen

El artículo propone un método de aproximación para alcanzar los valores óptimos posibles del coeficiente rho de Spearman para algunas clases especiales de cópulas.

Palabras clave: aproximación, cópula, tau de Kendall, rho de Spearman.


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References

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3. Durante, F. (2009), 'Construction of non-exchangeable bivariate distribution functions', Statistical Papers 50(2), 383-391.

4. Kim, J.-M., Sungur, E. A., Choi, T. & Heo, T.-Y. (2011), 'Generalized bivariate copulas and their properties', Model Assisted Statistics and Applications 6, 127-136.

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6. Nelsen, R. B. (2006), An Introduction to Copulas, Springer, New York.

7. Rodríguez-Lallena, J. A. & Úbeda-Flores, M. (2004), 'A new class of bivariate copulas', Statistics & Probability Letters 66(3), 315-325.

8. Schweizer, B. & Sklar, A. (1983), Probabilistic Metric Spaces, Elsevier, New York.

9. Sklar, A. (1959), 'Fonctions de répartition \'a n dimensions et leurs marges', l'Institut de statistique de l'Université de Paris 8, 229-231.

10. Sklar, A. (1973), 'Random variables, joint distribution functions, and copulas', Kybernetika 9(6), 449-460.


[Recibido en diciembre de 2013. Aceptado en octubre de 2014]

Este artículo se puede citar en LaTeX utilizando la siguiente referencia bibliográfica de BibTeX:

@ARTICLE{RCEv38n1a11,
    AUTHOR  = {Mukherjee, Saikat and Jafari, Farhad and Kim, Jong-Min},
    TITLE   = {{Optimization of Spearman's Rho}},
    JOURNAL = {Revista Colombiana de Estadística},
    YEAR    = {2015},
    volume  = {38},
    number  = {1},
    pages   = {209-218}
}