Concordance and Gini's measure of association

被引:30
作者
Nelsen, RB [1 ]
机构
[1] Lewis & Clark Coll, Dept Math Sci, Portland, OR 97219 USA
关键词
concordance; copulas; Gini's rank correlation coefficient; Frechet bounds; Kendall's tau; measures of association; Spearman's footrule; Spearman's rho;
D O I
10.1080/10485259808832744
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
We study the relationship between concordance and the population version gamma of Gini's rank correlation coefficient. For a pair (X, Y) of continuous random variables, we show that gamma is a function of probabilities of concordance and discordance between (X, Y) and pairs with the same margins but whose joint distributions are the Frechet upper and lower bounds. We also show that gamma depends only on the diagonal and secondary diagonal sections of the copula of (X, Y) and present corresponding results For the sample statistic.
引用
收藏
页码:227 / 238
页数:12
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