On the exact region determined by Spearman’s <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si519.svg" display="inline" id="d1e2511"><mml:mi>ρ</mml:mi></mml:math> and Blest’s measure of rank correlation <mml:math xmlns:mml="http://w

Considering pairs of measures of association it has been of interest how much the values of one measure varies, fixing the value of the other one. Motivated by this fact, we establish sharp lower and upper bounds for the region determined by Spearman’s ρ and Blest’s measure of rank correlation ν for bivariate extreme-value copulas (EVCs). Moreover, in the well-studied class of EVCs, exact regions for Spearman’s footrule ϕ /Blomqvist’s β and Spearman’s ρ , Kendall’s τ or Blest’s symmetrised measure of rank correlation ξ are provided. A performance analysis comparing rank-based estimators of ρ and ν with estimators using that the sample is drawn from an extreme-value copula concludes this paper.

Authors

Institutions

Publication Details

Journal
Journal of Multivariate Analysis
Published
2024-10-09
DOI
https://doi.org/10.1016/j.jmva.2024.105377
Primary Topic
Financial Risk and Volatility Modeling
Type
article
Field-Weighted Citation Impact
0.00

Funders

Controls
|||
ALL TIME
JAN
FEB
MAR
APR
MAY
JUN
JUL
AUG
SEP
OCT
article

On the exact region determined by Spearman’s <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si519.svg" display="inline" id="d1e2511"><mml:mi>ρ</mml:mi></mml:math> and Blest’s measure of rank correlation <mml:math xmlns:mml="http://w

Marco Tschimpke
Journal of Multivariate Analysis
Financial Risk and Volatility Modeling
article

On the exact region determined by Spearman’s <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" altimg="si519.svg" display="inline" id="d1e2511"><mml:mi>ρ</mml:mi></mml:math> and Blest’s measure of rank correlation <mml:math xmlns:mml="http://w

Marco Tschimpke
article en

Abstract

Considering pairs of measures of association it has been of interest how much the values of one measure varies, fixing the value of the other one. Motivated by this fact, we establish sharp lower and upper bounds for the region determined by Spearman’s ρ and Blest’s measure of rank correlation ν for bivariate extreme-value copulas (EVCs). Moreover, in the well-studied class of EVCs, exact regions for Spearman’s footrule ϕ /Blomqvist’s β and Spearman’s ρ , Kendall’s τ or Blest’s symmetrised measure of rank correlation ξ are provided. A performance analysis comparing rank-based estimators of ρ and ν with estimators using that the sample is drawn from an extreme-value copula concludes this paper.

Journal of Multivariate AnalysisVol. 205
University of Salzburg (AT)
AMAG Austria Metall
Openalex Percentile: Top 76%
Financial Risk and Volatility Modeling
AI Navigator

Ask Laika to Summarize, Analyze, and Connect papers live on the map.

Summarize Papers & Methodologies

Extract key findings, datasets, and comparative methods across publications.

Benchmark Rankings & Visual Analytics

Rank top research institutions, authors, funders, topics, and journals by Field-Weighted Citation Impact (FWCI) and paper volume with instant charts.

Connect Distant Disciplines

Bridge topological clusters on the map to find hidden collaborative intersections.