Published

2015-01-01

Optimization of Spearman's Rho

Optimización de Rho de Spearman

DOI:

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

Keywords:

Approximation, Copula, Kendall’s Tau, Spearman’s Rho (en)
Aproximación, Cópula, Tau de Kendall, Rho de Spearman. (es)

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Authors

  • Saikat Mukherjee National Institute of Technology Meghalaya, Shillong, India
  • Farhad Jafari University of Wyoming, Laramie, USA
  • Jong-Min Kim University of Minnesota-Morris, Morris, USA

This paper proposes an approximation method to achieve optimum possible values of Spearman’s rho for a special class of copulas

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

References

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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.

Liebscher, E. (2008), ‘Construction of asymmetric multivariate copulas’, Journal of Multivariate Analysis 99(10), 2234–2250.

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

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

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

Sklar, A. (1959), ‘Fonctions de répartition à n dimensions et leurs marges’, l’Institut de statistique de l’Université de Paris 8, 229–231.

Sklar, A. (1973), ‘Random variables, joint distribution functions, and copulas’, Kybernetika 9(6), 449–460.

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How to Cite

Mukherjee, S., Jafari, F., & Kim, J.-M. (2015). Optimization of Spearman’s Rho. Revista Colombiana De Estadística, 38(1), 209-218. https://doi.org/10.15446/rce.v38n1.48811

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