四种关联测量方法及其用 Copulas 表示的方法

Michel Adès, Serge B. Provost, Yishan Zang
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引用次数: 0

摘要

四种关联测量方法,即 Spearman 的 ρ、Kendall 的 τ、Blomqvist 的 β 和 Hoeffding 的 Φ2,都用协方差表示。方便的是,本文还包含了它们的经验对应物的明确表达式。此外,文章还提供了多变量情况下四个系数的 copula 表示,并指出了几个具体应用。此外,本文还介绍了一项数值研究,以说明每种关联测量方法所能检测到的关系类型。
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Four Measures of Association and Their Representations in Terms of Copulas
Four measures of association, namely, Spearman’s ρ, Kendall’s τ, Blomqvist’s β and Hoeffding’s Φ2, are expressed in terms of copulas. Conveniently, this article also includes explicit expressions for their empirical counterparts. Moreover, copula representations of the four coefficients are provided for the multivariate case, and several specific applications are pointed out. Additionally, a numerical study is presented with a view to illustrating the types of relationships that each of the measures of association can detect.
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