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.

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.

Texto completo disponible en PDF

References

1. Amblard, C. & Girard, S. (2009), 'A new extension of bivariate FGM copulas', Metrika 70, 1-17.

2. De la Peña, V. H., Ibragimov, R. & Sharakhmetov, S. (2006), Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series, 'Optimality: The second Erich L. Lehmann Symposium, IMS Lecture Notes - Monograph Series', Vol. 49, Institute of Mathematical Statistics, , , Beachwood, Ohio, p. 183-209.

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.

5. Liebscher, E. (2008), 'Construction of asymmetric multivariate copulas', Journal of Multivariate Analysis 99(10), 2234-2250.

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}
}

References

Amblard, C. & Girard, S. (2009), ‘A new extension of bivariate FGM copulas’, Metrika 70, 1–17.

De la Peña, V. H., Ibragimov, R. & Sharakhmetov, S. (2006), Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series, in J. Rojo, ed., ‘Optimality: The second Erich L. Lehmann Symposium, IMS Lecture Notes - Monograph Series’, Vol. 49, Institute of Mathematical Statistics, Beachwood, Ohio, pp. 183–209.

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

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.

How to Cite

APA

Mukherjee, S., Jafari, F. and 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

ACM

[1]
Mukherjee, S., Jafari, F. and Kim, J.-M. 2015. Optimization of Spearman’s Rho. Revista Colombiana de Estadística. 38, 1 (Jan. 2015), 209–218. DOI:https://doi.org/10.15446/rce.v38n1.48811.

ACS

(1)
Mukherjee, S.; Jafari, F.; Kim, J.-M. Optimization of Spearman’s Rho. Rev. colomb. estad. 2015, 38, 209-218.

ABNT

MUKHERJEE, S.; JAFARI, F.; KIM, J.-M. Optimization of Spearman’s Rho. Revista Colombiana de Estadística, [S. l.], v. 38, n. 1, p. 209–218, 2015. DOI: 10.15446/rce.v38n1.48811. Disponível em: https://revistas.unal.edu.co/index.php/estad/article/view/48811. Acesso em: 29 jan. 2025.

Chicago

Mukherjee, Saikat, Farhad Jafari, and Jong-Min Kim. 2015. “Optimization of Spearman’s Rho”. Revista Colombiana De Estadística 38 (1):209-18. https://doi.org/10.15446/rce.v38n1.48811.

Harvard

Mukherjee, S., Jafari, F. and Kim, J.-M. (2015) “Optimization of Spearman’s Rho”, Revista Colombiana de Estadística, 38(1), pp. 209–218. doi: 10.15446/rce.v38n1.48811.

IEEE

[1]
S. Mukherjee, F. Jafari, and J.-M. Kim, “Optimization of Spearman’s Rho”, Rev. colomb. estad., vol. 38, no. 1, pp. 209–218, Jan. 2015.

MLA

Mukherjee, S., F. Jafari, and J.-M. Kim. “Optimization of Spearman’s Rho”. Revista Colombiana de Estadística, vol. 38, no. 1, Jan. 2015, pp. 209-18, doi:10.15446/rce.v38n1.48811.

Turabian

Mukherjee, Saikat, Farhad Jafari, and Jong-Min Kim. “Optimization of Spearman’s Rho”. Revista Colombiana de Estadística 38, no. 1 (January 1, 2015): 209–218. Accessed January 29, 2025. https://revistas.unal.edu.co/index.php/estad/article/view/48811.

Vancouver

1.
Mukherjee S, Jafari F, Kim J-M. Optimization of Spearman’s Rho. Rev. colomb. estad. [Internet]. 2015 Jan. 1 [cited 2025 Jan. 29];38(1):209-18. Available from: https://revistas.unal.edu.co/index.php/estad/article/view/48811

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CrossRef citations2

1. Pablo César Ledesma-Cepeda, José David Hernández López, María Isabel Sancho Piedrahita. (2024). Relación entre la innovación, la comunicación y el cambio organizacional en las MiPymes del Valle del Cauca, Colombia. Revista En-contexto, 12(21), p.93. https://doi.org/10.53995/23463279.1646.

2. Saikat Mukherjee, Youngsaeng Lee, Jong-Min Kim, Jun Jang, Jeong-Soo Park. (2018). Construction of bivariate asymmetric copulas. Communications for Statistical Applications and Methods, 25(2), p.217. https://doi.org/10.29220/CSAM.2018.25.2.217.

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